There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests...

This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...

This paper tested for the validity of the Fisher hypothesis in Nigeria during the period 1970 - 2014. The Gregory and Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation, albeit with a structural break in October 2005. In...

This paper investigates evidence of a Fisher effect in Nigeria by employing quarterly CPI inflation and Nominal interest rates data. For a more robust result we conducted integration and cointegration tests in order to examine time-series properties of the variables. Using Co-integration and...