Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan

Yuki Toyoshima · Shigeyuki Hamori

24 citations0/0 files storedRePEc: Research Papers in Economics

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Economic theories and models

Abstract

This paper analyzes the Fisher effect using a panel of monthly data from January 1990 to December 2010 for three major countries: the United States, the United Kingdom, and Japan. Our empirical results contribute to the existing empirical literature in two ways. First, the study conducts panel cointegration tests and estimation. Second, it examines the validity of the Fisher hypothesis using short-term and long-term nominal interest rates. The empirical results show that the full Fisher effect holds from January 1990 to December 2010.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 2003Testing for unit roots in heterogeneous panels 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 2002Unit root tests in panel data: asymptotic and finite-sample properties 1999A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 2001Purchasing Power Parity Tests in Cointegrated Panels

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2023Inflation risk and stock returns: Evidence from US aggregate and sectoral markets 2015Does the Fisher hypothesis hold for the G7? Evidence from the panel cointegration test 2020The Relationship between Inflation and Interest Rates in the UK: The Nonlinear ARDL Approach 2015Testing the Long-Run Fisher Effect in Selected African Countries: Evidence from ARDL Bounds Test

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