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Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
ECB Working Paper No. 1013
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Fisher effect
linear and nonlinear cointegration
Structural change
JEL: 
E43
C32
Dokumentart: 
Working Paper

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