An analysis of the ex post Fisher hypothesis at short and long term

Charbel Bassil

Economics Bulletin, 2010, vol. 30, issue 3, 2388-2397

Abstract: This paper tests the Fisher effect. The analysis is applied to the U.S.A. It contributes to the existing empirical literature in three ways. First, it considers a panel of short term and long term real interest rates between 1960 and 2008. Second, it explores both the presence of unit root and structural changes in real interest rates, by allowing for interaction between these two assumptions as suggested by the recent work of Lee and Strazicich. The third contribution consists in testing formally for the number of breaks using Bai and Perron (1998, 2003) test.

Keywords: Unit Root; Structural Break; Fisher Hypothesis; Cointegration (search for similar items in EconPapers)
JEL-codes: C0 C2 (search for similar items in EconPapers)
Date: 2010-09-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I3-P218.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-10-00288

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().