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• W2025507654 abstract "Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to the low power of univariate tests, and that the use of panel data can generate more powerful tests. For this purpose, we propose two new panel cointegration tests that can be applied under very general conditions, and that are shown by simulation to be more powerful than other existing tests. These tests are applied to a panel of quarterly data covering 20 OECD countries between 1980 and 2004. The evidence suggest that the Fisher effect cannot be rejected once the panel evidence on cointegration has been taken into account. Copyright © 2007 John Wiley & Sons, Ltd." @default.
• W2025507654 created "2016-06-24" @default.
• W2025507654 creator A5084490753 @default.
• W2025507654 date "2008-01-01" @default.
• W2025507654 modified "2023-10-18" @default.
• W2025507654 title "Panel cointegration tests of the Fisher effect" @default.
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• W2025507654 doi "https://doi.org/10.1002/jae.967" @default.
• W2025507654 hasPublicationYear "2008" @default.
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