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On the Long-Run Fisher Effect: A Fractional Cointegration Approach


  • Koustas, Z.


Tests for fractional conintegration are employed to provide evidence on the validity of the long-run Fisher effect. We use post-war monthly data for the 3-, 6-, 12-month US Treadury bill rate. We conclude that the rejection of a "full" Fisher effect that results from the use of tests for integer conintegration is generally robust to the use of fractional alternatives. Similar conclusions emerge when tests for a "weak" Fisher effect are conducted. The results seem to be somewhat sensitive to the estimation method used for the fractional difference parameter.

Suggested Citation

  • Koustas, Z., 1998. "On the Long-Run Fisher Effect: A Fractional Cointegration Approach," Working Papers 1998-01, Brock University, Department of Economics.
  • Handle: RePEc:brk:wpaper:1998-01

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    JEL classification:

    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models


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