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Garch effects on a test of cointegration

โœ Scribed by Philip Hans Franses; Paul Kofman; James Moser

Publisher
Springer US
Year
1994
Tongue
English
Weight
544 KB
Volume
4
Category
Article
ISSN
0924-865X

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## Abstract Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to