A re-examination of the Fisher effect using an alternative approach
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1985638
- author
- Hatemi-J, Abdulnasser LU
- organization
- publishing date
- 2011
- 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
- 2016-04-01 10:45:18
- date last changed
- 2022-01-26 02:09:46
@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}}, doi = {{10.1080/13504851.2010.505551}}, volume = {{18}}, year = {{2011}}, }