Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low‐Frequency International Data
Frank Atkins () and
Manchester School, 2003, vol. 71, issue 6, 673-679
We use long low‐frequency data on prices and interest rates for Canada, Italy, Norway, Sweden, the UK and the USA to investigate empirical relationships previously taken to support the Gibson paradox and the Fisher effect. Using recent advances in applied econometrics, we reject the existence of a long‐run relationship between the price level and the nominal interest rate and between the inflation rate and the nominal interest rate.
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