Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan
Yuki Toyoshima () and
Shigeyuki Hamori
Economics Bulletin, 2011, vol. 31, issue 3, 2674-2682
Abstract:
This paper analyzes the Fisher effect using a panel of monthly data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and Japan. Our empirical results contribute to the existing empirical literature in two ways. First, the study conducts panel cointegration tests and estimation. Second, it examines the validity of the Fisher hypothesis using short-term and long-term nominal interest rates. The empirical results show that the full Fisher effect holds from January 1990 to December 2010.
Keywords: Fisher effect; panel cointegration test; dynamic ordinary least squares; fully modified ordinary least squares (search for similar items in EconPapers)
JEL-codes: E4 F4 (search for similar items in EconPapers)
Date: 2011-09-16
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)
Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P240.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-11-00330
Access Statistics for this article
More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().