Testing the Fisher Effect as a Long-Run Equilibrium Relationship

Authors

Joseph Daniels, Marquette UniversityFollow
Farrokh Nourzad, Marquette UniversityFollow
Robert K. Toutkoushian, University of Minnesota - Twin Cities

Document Type

Article

Language

eng

Format of Original

6 p.

Publication Date

1996

Publisher

Taylor & Francis (Routledge)

Source Publication

Applied Financial Economics

Source ISSN

0960-3107

Abstract

The recent advances in the econometrics of integrated time series by Johansen are applied to the much examined Fisher effect. While the existing literature is concerned with whether there is a stable long-run equilibrium relation between the nominal rate of interest and inflation, the existence of a one-to-one relation along this path is also tested. Moreover, it is found that in the long run there is a unidirectional causality from the inflation rate to the rate of interest. However, in the short-run there is a feedback (bi-directional causality) between the two variables.

Comments

Applied Financial Economics, Vol. 6, No. 2 (1996): 115-120. DOI.

Recommended Citation

Daniels, Joseph; Nourzad, Farrokh; and Toutkoushian, Robert K., "Testing the Fisher Effect as a Long-Run Equilibrium Relationship" (1996). Economics Faculty Research and Publications. 100.
https://epublications.marquette.edu/econ_fac/100