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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 ...
N N Leonenko, N Suvak
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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 +2 more
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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 ...
Yu Hsing
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The Fisher Hypothesis and Its Implications for Defined Benefits
Asia-Pacific Journal of Risk and Insurance, 2015Abstract Asset liability management is often employed for managing the risks associated with defined benefits. Liability Driven Investment is a recent phenomenon in financial circles, promising a coherent framework for achieving this aim.
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An Empirical Study on Testing the Fisher Hypothesis in Japan
Journal of International Economic Studies, 2005 The objective of this paper is to conduct an empirical study on testing the Fisher hypothesis in Japan. There are few studies centering on testing the Fisher hypothesis in Japan. There are several techniques that can be used to test the Fisher hypothesis.
Satake Mitsuhiko
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Modelling the Fisher hypothesis: World wide evidence [PDF]
, 2006 In this paper we follow an empirical approach to examine the implications of the Fisher hypothesis, namely cointegration linking interest rates and inflation, and stationarity of the real interest rate implying in turn homogeneity of the potential equilibrium relation.
Herwartz, Helmut, Reimers, Hans-Eggert
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The Fisher Hypothesis and International Capital Markets
Journal of Political Economy, 1986In 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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