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 …

Hansen Co-integration test confirmed the existence of a long-run relationship between nominal interest rates and inflation …

the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later … inflation rates to nominal interest rates is very different than one. …

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 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 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 Kalman filter methodologies, the study did not find evidence of a full …

We find empirical evidence that inflation, nominal, and real interest rates in the US are trend-stationary with a … change in operating procedures of the Fed in September 1979. This finding casts some doubts on cointegration tests of the …

This paper examines the implications of inflation persistence for the inverted Fisher hypothesis that nominal interest … rates do not adjust to inflation because of a high degree of substitutability between money and bonds. It is emphasized that … the substitutability between nominal assets and capital renders the hypothesis inconsistent with the data when inflation …