On the Fisher effect

• 成果类型: Article
• 署名作者: Koustas, Z; Serletis, A
• 署名单位: University of Calgary; Brock University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(99)00017-3
• 发表日期: 1999
• 页码: 105-130
• 关键词: unit roots; cointegration; Fisher effect

摘要

We use post-war quarterly data for Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Japan, the Netherlands, the United Kingdom and the United States to examine the Fisherian link between inflation and short-term nominal interest rates. In doing so, we apply the King and Watson (1997) methodology, paying particular attention to the integration and cointegration properties of the variables, since meaningful Fisher effect tests critically depend on such properties. We conclude that the data are generally rejecting the Fisher effect. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: E40; E50; C32.