Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis

James Payne and Bradley Ewing

Applied Economics Letters, 1997, vol. 4, issue 11, 683-687

Abstract: This paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia, Pakistan, and Sri Lanka provide evidence to support the full Fisher effect in which a unit proportional relationship exists between nominal interest rates and inflation.

Date: 1997
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DOI: 10.1080/758530649

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