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

Hatemi-J, Abdulnasser LU (2011) In Applied Economics Letters 18(9). p.855-858
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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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
in
Applied Economics Letters
volume
18
issue
9
pages
855 - 858
publisher
Routledge
external identifiers
  • wos:000291089400012
  • scopus:79957600467
ISSN
1466-4291
DOI
10.1080/13504851.2010.505551
language
English
LU publication?
yes
id
c88c43bd-e23c-4446-b81d-59c5e441cc99 (old id 1985638)
date added to LUP
2011-07-06 12:11:19
date last changed
2017-01-01 03:52:19
@article{c88c43bd-e23c-4446-b81d-59c5e441cc99,
  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.},
  author       = {Hatemi-J, Abdulnasser},
  issn         = {1466-4291},
  language     = {eng},
  number       = {9},
  pages        = {855--858},
  publisher    = {Routledge},
  series       = {Applied Economics Letters},
  title        = {A re-examination of the Fisher effect using an alternative approach},
  url          = {http://dx.doi.org/10.1080/13504851.2010.505551},
  volume       = {18},
  year         = {2011},
}