A re-examination of the fisher effect using an alternative approach

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    The Fisher Effect (FE) is of fundamental importance in financial markets. The majority of previous studies have not managed to obtain the expected one-for-one reaction of the nominal interest rate to the inflation rate. The aim of this article is to reinvestigate the FE for the USA and the UK using a case-wise bootstrap approach developed by Hatemi-J and Hacker (2005). This method is robust to nonnormality or heteroscedasticity and it is used to calculate and test the statistical significance of the coefficients. The results support a tax-adjusted FE in the presence of a structural break.

    Original languageEnglish
    Pages (from-to)855-858
    Number of pages4
    JournalApplied Economics Letters
    Issue number9
    Publication statusPublished - Jun 2011

    ASJC Scopus subject areas

    • Economics and Econometrics


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