Fisher Hypothesis Revisited: A Fractional Cointegration Analysis
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- Rodionova, Alena, 2014. "Formation of long-term rate of return: Fisher effect in the markets of public debt of developing countries," Economic Policy, Russian Presidential Academy of National Economy and Public Administration, pages 116-139.
More about this item
KeywordsFisher hypothesis; interest rates; fractional cointegration; long memory;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-21 (All new papers)
- NEP-ETS-2006-07-21 (Econometric Time Series)
- NEP-IFN-2006-07-21 (International Finance)
- NEP-MAC-2006-07-21 (Macroeconomics)
- NEP-MON-2006-07-21 (Monetary Economics)
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