IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Is it Really the Fisher Effect?

Fahmy and Kandil [2003] use a cointegration approach to test for the Fisher effect in US interest rates during the 1980s and early 1990s. Here, I argue that even if nominal interest rates and inflation rates do obey integrated processes, cointegration of these two processes is not a sufficient condition for the Fisher effect to hold as it is consistent with any theory implying a stationary real interest rate. As the Fisher effect ex post implies that nominal interest rates embody an optimal inflation forecast, the sufficient condition for it to hold is the unpredictability of the implied inflation forecast error. This condition may be tested using the signal extraction framework of Durlauf and Hall [1988, 1989].

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://irving.vassar.edu/VCEWP/VCEWP58.pdf
Download Restriction: no

Paper provided by Vassar College Department of Economics in its series Vassar College Department of Economics Working Paper Series with number 58.

as
in new window

Length:
Date of creation: Jan 2004
Date of revision:
Handle: RePEc:vas:papers:58
Contact details of provider: Postal: Maildrop 708, 124 Raymond Avenue, Poughkeepsie NY 12604-0708
Phone: (914)437-7395
Fax: (914)437-7576
Web page: http://irving.vassar.edu/VCEWP/VCEWP.htm

More information through EDIRC

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.
  2. Carl Bonham, 1990. "Correct Cointegration Tests of the Long Run Relationship Between Nominal Interest and Inflation," Working Papers 199026, University of Hawaii at Manoa, Department of Economics.
  3. Crowder, William J & Hoffman, Dennis L, 1996. "The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 102-18, February.
  4. John Huizinga & Frederic S. Mishkin, 1985. "Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates," NBER Working Papers 1678, National Bureau of Economic Research, Inc.
  5. William J. Crowder, 1997. "The Long-Run Fisher Relation in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 1124-42, November.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:vas:papers:58. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sean Flynn)

The email address of this maintainer does not seem to be valid anymore. Please ask Sean Flynn to update the entry or send us the correct address

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.