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

Jeung-Lak Lee · Carolyn Clark · Sung K. Ahn

30 citations0/0 files storedApplied Economics

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Abstract

We find Fisher effects, both long- and short-run, in our full sample period and in the lengthy first sub-period, using Mishkin's monthly data for Treasury bill yields and the corresponding inflation rate. Recently developed cointegration techniques (Ahn and Reinsel, 1990; Reinsel and Ahn, 1992) are used to detect a long-run Fisher effect. The short-run effect is analysed within a cointegration framework, using a Granger causality test that we developed. In the two more recent, but comparatively short sub-periods since October 1979, our results indicate the Fisher effect is not present in either long- or short-run form. These methodologies and results differ from the conclusions of Mishkin's (1992) recent study.

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1988Some recent development in a concept of causality 1990Inference in Linear Time Series Models with some Unit Roots 1994Five alternative methods of estimating long-run equilibrium relationships 1991Optimal Inference in Cointegrated Systems

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