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Modelling the Fisher hypothesis: World wide evidence [PDF]

open access: possible, 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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A re-evaluation of empirical tests of the Fisher hypothesis [PDF]

open access: possible, 1999
This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S.
Basma Bekdache, Christopher F. Baum
openaire  

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