Testing the validity of Fisher hypothesis: The case of ASEAN-5

2021 ◽  
Author(s):  
Pei Ling Kiew ◽  
Siok Kun Sek
Keyword(s):  
Fisher Hypothesis

scholarly journals Testing the Fisher hypothesis in the G-7 countries using I(d) techniques

2019 ◽  
Vol 159 ◽  
pp. 140-150 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Luis Gil-Alaña
Keyword(s):  
Fisher Hypothesis

scholarly journals INTEREST RATES, FISHER EFFECT AND ECONOMIC DEVELOPMENT IN TURKEY, 1989-2011

2016 ◽  
Vol 25 (2) ◽  
pp. 95-100
Author(s):  
Selahattin GÜR?? ◽  
Burak GÜR?? ◽  
Turgut ÜN
Keyword(s):  
Economic Development ◽  
Interest Rates ◽  
Test Validity ◽  
Threshold Cointegration ◽  
Fisher Effect ◽  
Empirical Results ◽  
Distributed Lag ◽  
Leading Indicator ◽  
Nominal Interest Rates ◽  
Fisher Hypothesis

This paper investigates the validity of the Fisher Hypothesis in Turkey coveringthe period 2003 – 2012. To test validity of Fisher Hypothesis, this paper uses anAutoregressive Distributed Lag test for threshold cointegration recently introduced in theliterature by Li and Lee (2010). The empirical results which are obtained from this paperindicate that Fisher hypothesis is valid for Turkey, meaning nominal interest rates wouldbe an important leading indicator for inflation.

scholarly journals The Fisher hypothesis: a multi-country analysis

2002 ◽  
Vol 34 (13) ◽  
pp. 1645-1655 ◽  
Author(s):  
Hakan Berument ◽  
Mohamed Mehdi Jelassi
Keyword(s):  
Fisher Hypothesis ◽  
Country Analysis

A parametric stationarity test with smooth breaks

2018 ◽  
Vol 23 (2) ◽  
Author(s):  
Ching-Chuan Tsong ◽  
Cheng-Feng Lee ◽  
Li Ju Tsai
Keyword(s):  
Small Sample ◽  
Fourier Component ◽  
Deterministic Trend ◽  
Fisher Hypothesis ◽  
Trend Breaks ◽  
Stationarity Test ◽  
Unknown Form ◽  
Small Sample Sizes ◽  
Parametric Adjustment ◽  
Smooth Breaks

Abstract We propose a test to investigate the stationarity null against the unit-root alternative where a Fourier component is employed to approximate nonlinear deterministic trend of unknown form. A parametric adjustment is also adopted to accommodate possible stationary error. The asymptotic distribution of the test under the null is derived, and the asymptotic critical values are tabulated. We also show that it is a consistent test. Even with small sample sizes often encountered in empirical applications, our parametric stationarity test employing Fourier term has good size and power properties when trend breaks are gradual. The validity of the Fisher hypothesis for 15 OECD countries is investigated to illustrate the usefulness of our test.

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