Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/161660
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Year of Publication: 
2017
Series/Report no.: 
DIW Discussion Papers 1667
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.
Subjects: 
Fisher effect
fractional integration
long memory
G7 countries
JEL: 
C22
C32
E43
Document Type: 
Working Paper

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