This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more …, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …

This paper aims to show why Irving Fisher's own data on interest rates and inflation in New York, London, Paris, Berlin … changes in inflation, not even in the long run. In Fisher's data, interest rates have more persistence than inflation and … change less than inflation over time. The Fisher effect is a misnomer unless it is taken to refer to what Fisher actually …

is constructed for the German monetary sector based on M3, GNP, an inflation rate, a long-term interest rate and a short …-term rate which represents the policy variable of the DBB. Moreover, import price inflation is included as an exogenous variable …

the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques …

. The analysis is conducted for five inflation targeting countries (the UK, Canada, Australia, New Zealand and Sweden) and … near future, namely central banks are perceived as more credible when sticking to their goal of keeping inflation at a low …, UIP holds better in inflation targeting countries, where monetary authorities appear to achieve a higher degree of …

. -- cointegration ; oil market ; futures prices ; price discovery …

, Smeekes, and Urbain (2010) and cointegration techniques by Westerlund (2007), we find that UIP holds for short-term maturities …, when market-specific heterogeneity is controlled for. Furthermore, the estimation results show that the speed of adjustment … cointegration …

under consideration. Using a cointegration approach, they find strong evidence pointing towards a long-run relationship … evidence of cointegration once the finite sample bias is taken into account. Moreover, there is only weak evidence of a …

and economic growth. We make use of a Johansen-based panel cointegration methodology allowing for cross-country dependence …