Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153447
Authors: 
Beyer, Andreas
Haug, Alfred A.
Dewald, William G.
Year of Publication: 
2009
Series/Report no.: 
ECB Working Paper 1013
Abstract: 
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration.
Subjects: 
Fisher effect
linear and nonlinear cointegration
Structural change
JEL: 
E43
C32
Document Type: 
Working Paper

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