The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration

Abstract

The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by MIT Press.

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Myles S. Wallace, John T. Warner (1993). The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration. The Review of Economics and Statistics. https://doi.org/10.2307/2109438

@article{s1993the,
  title  = {The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration},
  author = {Wallace, Myles S. and Warner, John T.},
  year   = {1993},
  journal = {The Review of Economics and Statistics},
  doi    = {10.2307/2109438}
}

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