Fractional cointegration between nominal interest rates and inflation: A re-examination of the Fisher relationship in the G7 countries
Valérie Mignon () and
Sandrine Lardic ()
Economics Bulletin, 2003, vol. 3, issue 14, 1-10
Abstract:
According to the Fisher hypothesis, the nominal interest rate is equal to the real interest rate, plus expected inflation. Results concerning the empirical validity of this hypothesis are not unanimous. These contradictions may be due to the fact that the usual concept of cointegration is too restrictive. We thus propose here to refer to the concept of fractional cointegration introduced by Granger (1986). We study the Fisher hypothesis by testing for the existence of a fractional cointegration relationship between nominal interest rates and inflation. Our results suggest that, for a large majority of G7 countries, such a relationship exists.
JEL-codes: C2 E4 (search for similar items in EconPapers)
Date: 2003-07-02
References: Add references at CitEc
Citations: View citations in EconPapers (21)
Downloads: (external link)
http://www.accessecon.com/pubs/EB/2003/Volume3/EB-03C20002A.pdf (application/pdf)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-03c20002
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().