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The Fisher hypothesis: examining the Canadian experience §
Applied Economics, 1995In 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, D. Ghosh
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The generalized Fisher hypothesis in the Asian markets
Journal of Economic Studies, 2004This paper investigates the generalized Fisher hypothesis for nine equity markets in the Asian countries. It states that the real rates of return on common stocks and the expected inflation rate are independent and that nominal stock returns vary in a one‐to‐one correspondence with the expected inflation rate. The regression results indicate that stock
Osamah M. Al-Khazali
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Cointegration analysis of the Fisher hypothesis: the role of the real rate and the Fisher identity
Applied Financial Economics, 1993The Fisher hypothesis on the long-run relationship between inflation and nominal interest rates has recently been investigated using cointegration techniques. This paper examines the role of the expected real rate in such cointegration analyses. It is shown that, contrary to Bonham's (1991) suggestion, it is inappropriate to add a proxy for the ...
P. D. Owen
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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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Testing for the Fisher Hypothesis Under Regime Shifts: An Application to Asian Countries
International Economic Journal, 2008Salah Ahmad Nusair
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A Fractional Cointegration Analysis of Fisher Hypothesis: Evidence From Turkey
Quality and Quantity, 2013Burcu KIRAN
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An Empirical Study on Testing the Fisher Hypothesis in Japan [PDF]
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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Time-varying threshold cointegration with an application to the Fisher hypothesis
Studies in Nonlinear Dynamics & Econometrics, 2021This paper extends the threshold cointegration model developed by Gonzalo, J., and J. Y. Pitarakis. 2006. “Threshold Effects in Cointegrating Relationships.” Oxford Bulletin of Economics & Statistics 68: 813–33 and Chen, H. 2015.
Li-Xiong Yang
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