On the Long-Run Fisher Effect: A Fractional Cointegration Approach

Zisimos Koustas

Working Papers from Brock University, Department of Economics

Abstract: Tests for fractional conintegration are employed to provide evidence on the validity of the long-run Fisher effect. We use post-war monthly data for the 3-, 6-, 12-month US Treadury bill rate. We conclude that the rejection of a "full" Fisher effect that results from the use of tests for integer conintegration is generally robust to the use of fractional alternatives. Similar conclusions emerge when tests for a "weak" Fisher effect are conducted. The results seem to be somewhat sensitive to the estimation method used for the fractional difference parameter.

Keywords: TIME SERIES; MONEY; MONETARY POLICY (search for similar items in EconPapers)
JEL-codes: C32 E40 E50 (search for similar items in EconPapers)
Pages: 13 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:brk:wpaper:1998-01

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