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Yuki Toyoshima and Shigeyuki Hamori
 
''Panel cointegration analysis of the Fisher effect: Evidence from the US, the UK, and Japan ''
( 2011, Vol. 31 No.3 )
 
 
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.
 
 
Keywords: Fisher effect, panel cointegration test, dynamic ordinary least squares, fully modified ordinary least squares
JEL: E4 - Money and Interest Rates: General
F4 - Macroeconomic Aspects of International Trade and Finance: General
 
Manuscript Received : May 19 2011 Manuscript Accepted : Sep 16 2011

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