Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test

被引：9

作者：

Ozcan, Burcu ^{[1
]}

Ari, Ayse ^{[2
]}

机构：

[1] Firat Univ, Fac Econ & Adm Sci, Dept Econ, TR-23200 Elazig, Turkey

[2] Nigde Univ, Fac Econ & Adm Sci, Dept Econ, TR-51310 Nigde, Turkey

来源：

ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA | 2015年 / 28卷 / 01期

关键词：

Fisher hypothesis; monetary policy; inflation rate; interest rate; panel unit root test; panel cointegration test; UNIT-ROOT TESTS; INTEREST-RATES; INFLATION; SPECIFICATION; REAL; UK;

D O I：

10.1080/1331677X.2015.1041777

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The aim of this study is to investigate the validity of the Fisher hypothesis by assessing the relationship between the nominal interest rate and the inflation rate. To this end, we analyse the G7 countries over the period January 2000 to November 2012 by employing the panel unit root and panel cointegration tests. The analysis reveals that the adjustment in nominal interest rates to changes in inflation is significantly lower than unity, which implies the existence of a partial Fisher effect.

引用

页码：271 / 283

页数：13

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