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

A. Hatemi-J

doi:10.1080/13504851.2010.505551

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

A. Hatemi-J

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

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 language	English
Pages (from-to)	855-858
Number of pages	4
Journal	Applied Economics Letters
Volume	18
Issue number	9
DOIs	https://doi.org/10.1080/13504851.2010.505551
Publication status	Published - Jun 2011

ASJC Scopus subject areas

Economics and Econometrics

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10.1080/13504851.2010.505551

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abstract = "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.",

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AB - 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.

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

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