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
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)
New Economics Papers: this item is included in nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Working Paper: Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:diw:diwwpp:dp1667
Access Statistics for this paper
More papers in Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Bibliothek ().