Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques

Guglielmo Maria Caporale and Luis Gil-Alana

No 1667, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973) autocorrelated errors respectively. The univariate analysis suggests than the differencing parameter is higher than 1 for most series in the former case, whilst the unit root null cannot be rejected for the majority of them in the latter case. The multivariate results imply that there exists a positive relationship, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter required by the Fisher hypothesis.

Keywords: Fisher effect; fractional integration; long memory; G7 countries (search for similar items in EconPapers)
JEL-codes: C22 C32 E43 (search for similar items in EconPapers)
Pages: 18 p.
Date: 2017
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Testing the Fisher hypothesis in the G-7 countries using I(d) techniques (2019)
Journal Article: Testing the Fisher hypothesis in the G-7 countries using I(d) techniques (2019)
Working Paper: Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques (2017)
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