Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1

Ka-Fu Wong and Hai-Jun Wu

Applied Economics Letters, 2003, vol. 10, issue 14, 917-923

Abstract: Using monthly data from G7 and eight Asian countries, support is found for the Fisher hypothesis, as well as a positive relation between long-horizon nominal stock returns and expected inflation but not between long-horizon nominal stock returns and contemporaneous inflation. These empirical results complement and strengthen those of Boudoukh and Richardson. 1 The MATLAB program and data to compute the results in this paper are available from http://kafuwong.econ.hku.hk/research/fisher/.

Date: 2003
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DOI: 10.1080/1350485032000158645

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