Long- and short-run Fisher effects: New tests and new results

Applied Economics

Volumn 30, Issue 1, 1998, Pages 113-124

  Lee, Jeung Lak ^a   Clark, Carolyn ^b   Ahn, Sung K ^b  

^a Boram Bank   (South Korea)

^b WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 1642392871     PISSN: 00036846     EISSN: None     Source Type: Journal    
DOI: 10.1080/000368498326209     Document Type: Article

References (39)

1. Ahn, S. K. and Reinsel, G. C. (1990) Estimation for partially nonstationary multivariate autoregressive models, Journal of the American Statistical Association, 85, 813-23.
2. Atkins, F. J. (1989) Co-integration, error correction and the fisher effect, Applied Economics, 21, 1611-20.
3. Bonham, C. S. (1991) Correct cointegration tests of the long-run relationship between nominal interest and inflation, Applied Economics, 23, 1487-92.
4. DeJong, D. N., Nankervis, J. C., Savin, N. E. and Whiteman, C. H. (1992) Integration versus stationarity in time series, Econometrica, 60 (2) 423-33.
5. Eitrheim, O. (1992) Inference in small co-integrated systems: some Monte Carlo results. Discussion paper 31, Department of Economics, University of Californi, San Diego.
6. Engle, R. F. and Granger, C. W. J. (1987) Co-integration and error correction: representation, estimation, and testing, Econometrica, 55, 251-76.
7. Engle, R. F., Hendry, D. F. and Richard, J. F. (1983) Exogeneity, Econometrica, 51, 277-304.
8. Fama, E. F. (1975) Short term interest rates as predictors of inflation, American Economic Review, 65, 269-82.
9. Fama, E. F. and Gibbons, M. R. (1982) Inflation, real returns and capital investment, Journal of Monetary Economics, 9, 297-324.
10. Fisher, I. (1930) The Theory of Interest, Macmillan, New York, NY.
11. Friedman, M. and Schwartz, A. J. (1982) Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1967-1975, University of Chicago Press, Chicago.
12. Geweke, J. (1984) Inference and causality in economic time series models, in Z. Griliches and M. D. Intriligator (eds) Handbook of Econometrics, Volume II, North-Holland, Amsterdam, pp. 1101-44.
13. Gonzalo, J. (1994) Five alternative methods of estimating long run equilibrium relationships, Journal of Econometrics, 60, 203-33.
14. Granger, C. W. J. (1988) Some recent developments in a concept of causality, Journal of Econometrics, 39, 199-211.
15. Huizinga, J. and Mishkin, F. S. (1986) Monetary policy regime shifts and the unusual behavior of real interest rates, Carneqie-Rochester Conference on Public Policy, 24, 231-74.
16. Johansen, S. (1988) Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control, 12, 231-54.
17. Johansen, S. (1992) Cointegration in partial systems and the efficiency of single-equation analysis, Journal of Econometrics, 52, 389-402.
18. Kremers, J. J. K., Ericsson, N. R. and Dolado, J. J. (1989) The power of cointegration tests, mimeo, Board of Governors of the Federal Reserve System, Washington, DC.
19. Kwiatkowiski, D., Phillips, P. C. B., Schmidt, P. and Shin, S. (1992) Testing the null hypothesis of stationarity against the alternative of a unit root, Journal of Econometrics, 54, 159-78.
20. Lucas, R. E., Jr (1980) Two illustrations of the quantity theory of money, American Economic Review, 70, 1005-14.
21. Lütkepohl, H. and Reimer (1992) Impulse response analysis of cointegrated systems, Journal of Economic Dynamics and Control, 16, 53-78.
22. MacDonald, R. and Kearney, C. (1987) On the specification of Granger-causality tests using the cointegration methodology, Economics Letters, 25, 149-53.
23. McNown, R. and Wallace, M. S. (1994) Tests of the monetary exchange rates model for three high inflation economies, Journal of Monetary Economics, 26, 396-411.
24. Mishkin, F. S. (1990) What does the term structure of interest rates tell us about future inflation?, Journal of Monetary Economics, 25, 77-95.
25. Mishkin, F. S. (1992) Is the fisher effect for real? A reexamination of the relationship between inflation and interest rates, Journal of Monetary Economics, 30, 195-215.
26. Mosconi, R. and Giannini, C. (1992) Non-causality in cointegrated systems: representation estimation and testing, Oxford Bulletin of Economics and Statistics, 54 (3), 399-417.
27. Nelson, C. R. and Schwert, G. W. (1977) Short-term interest rates as predictors of inflation: on testing the hypothesis that the real rate of interest is constant, American Economic Review. 67, 478-86.
28. Owen, P. D. (1993) Cointegration analysis of the fisher hypothesis: the role of the real rate and the fisher identity, Applied Financial Economics, 3, 21-6.
29. Phillips, P. C. B. (1991) Optimal inference in cointegrated systems, Econometrica, 59 (2), 283-306.
30. Reinsel, G. C. and Ahn, S. K. (1992) Likelihood ratio test for unit roots and forecasting properties in the nonstationary vector AR model, Journal of Time Series Analysis, 13, 353-75.
31. Said, S. E. and Dickey, D. (1984) Testing for unit roots in autoregressive moving average models of unknown order, Biometrica, 71, 599-607.
32. Schwert, G. W. (1979) Tests of causality: The message in the innovations, Carneqie-Rochester Conference Series on Public Policy, 10, 55-95.
33. Schwert, G. W. (1987) Effects of model specification on tests for unit roots in macroeconomic data, Journal of Monetary Economics, 20, 73-103.
34. Sheehan, R. G. (1996) Adaptive versus rational expectations and the fisher effect, Applied Economics, 28, 1-11.
35. Sims, C. A., Stock, J. H. and Watson, M. W. (1990) Inference in liner time series models with some unit roots, Econometrica, 58, 113-44.
36. Summers, L. H. (1983) The non-adjustment of nominal interest rates: A study of the Fisher effect, in J. Tobin (ed.) A Symposium in Honor of Arthur Okun, Brookings Institution, Washington, DC.
37. Vahid, F. and Engle, R. F. (1993) Common trends and common cycles, Journal of Applied Economeirics, 8, 341-60.
38. Wallace, M. S. and Warner, J. T. (1993) The Fisher effect and the term structure of interest rates: Tests of cointegration, Review of Economics and Statistics, 75, 320-24.
39. Yap, S. F. and Reinsel, G. C. (1995) Estimation and testing for unit roots in a partially nonstationary vector autoregressive moving average model, Journal of the American Statistical Association, 90, 253-67.