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Fisher Hypothesis Revisited: A Fractional Cointegration Analysis [PDF]

Emerging Markets Finance and Trade, 2006
This paper investigates the validity of the Fisher hypothesis using data from thirtythree developed and developing countries. Conventional cointegration tests do not provide strong evidence for a relation between nominal interest rates and inflation. Therefore, we use fractional cointegration analysis to test the long-run relationship between the two ...
Saadet Kirbas Kasman, Adnan Kasman, Evrim Turgutlu   +2 more
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Hypothesis testing for Fisher–Snedecor diffusion

Journal of Statistical Planning and Inference, 2012
We consider the problem of testing the hypothesis whether the random variable X_t, for fixed t grether that zero, on marginal distribution of ergodic diffusion with Fisher-Snedecor invariant distribution, to be called Fisher-Snedecor diffusion. We propose a GMM approach to testing this statistical hypothesis where the moment condition is based on ...
Avram, F., Leonenko, N. N., Šuvak, N.
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The Fisher Hypothesis and International Capital Markets

Journal of Political Economy, 1986
In a closed economy with interest taxes at rate τ and with a constant real et rate of interest, the nominal rate of interest should rise by 1/(1 - τ) points for every point rise in the expected rate of inflation. However, a large body of empirical work examines the determinants of nominal interest rates and generally finds that the coefficient of ...
Hansson, Ingemar, Stuart, Charles
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The Fisher Hypothesis under Different Monetary Regimes

The Review of Economics and Statistics, 1986
We examine the relation between inflation and nominal interest rates under the various monetary regimes in effect in the United States since the turn of the century. Our data include a newly constructed time series of short-term municipal bond yields observed annually since 1902.
Barthold, Thomas A, Dougan, William R
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The Fisher hypothesis: examining the Canadian experience

Applied Economics, 1995
In this study the validity of the Fisher hypothesis is investigated for Canada under both fixed and floating exchange rate regimes. An empirically distinction is drawn between the weak and strong form of the Fisher hypothesis. The Johansen-Juselius (JJ) multivariate cointegration methodology is applied to test the weak form while the Phillips–Hansen ...
Swarna D. Dutt, Dipak Ghosh
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Quantile cointegration analysis of the Fisher hypothesis

Journal of Macroeconomics, 2013
Abstract This paper intends to provide possible explanations for the empirical failure of the Fisher hypothesis in terms of economic shocks by employing the quantile cointegration methodology recently proposed by Xiao (2009) . Our empirical results for six OECD countries suggest that though the nominal interest rate and inflation move together in ...
Ching-Chuan Tsong, Cheng-Feng Lee
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The Fisher hypothesis revisited: new evidence

Applied Economics, 1997
The nominal interest rate is examined with the IS-LM model incorporating the Fisher hypothesis. Eight different interest rates are considered for different sample periods ending in 1993. When the Livingston survey data are used, the coefficients for the expected inflation rate, real quantity of money and government spending are significant in most ...
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Inflation, hedging, and the fisher hypothesis

Journal of Macroeconomics, 1987
This paper presents an interest rate equation that is based on the “inverted Fisher hypothesis” but that allows for a time-variant interest premium corresponding to the implicit return on monetary services. This premium is decomposed into time-variant capital risk and hedging premiums. Empirical evidence from Canada, the U.K. and the U.S.
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Real Interest Parity and the Fisher Hypothesis

1997
The real interest parity (RIP) hypothesis postulates that if the world markets for goods, capital and foreign exchange are integrated, real interest rates on perfectly comparable financial assets tend to be equalised across countries over time.
Imad A. Moosa, Razzaque H. Bhatti
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Local Control, Survival, and the Fisher Hypothesis

Journal of Clinical Oncology, 2010
TO THE EDITOR: Rabinovitch and Kavanagh seek a middle ground between the Fisher and Halsted concepts of breast cancer. They report that a meta-analysis showed a highly significant reduction in annual breast cancer mortality when patients who had undergone lumpectomy also received radiation therapy.
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