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Quantile cointegration analysis of the Fisher hypothesis

✍ Scribed by Tsong, Ching-Chuan; Lee, Cheng-Feng

Book ID: 125440549
Publisher: Elsevier Science
Year: 2013
Tongue: English
Weight: 374 KB
Volume: 35
Category: Article
ISSN: 0164-0704
DOI: 10.1016/j.jmacro.2012.11.001

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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