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Bounds Tests of the Gibson Paradox and the Fisher Effect: Evidence from Low‐Frequency International Data
Author(s) -
Atkins Frank J.,
Serletis Apostolos
Publication year - 2003
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1046/j.1467-9957.2003.00373.x
Subject(s) - fisher hypothesis , economics , nominal interest rate , econometrics , international fisher effect , interest rate , inflation (cosmology) , empirical evidence , fisher equation , real interest rate , macroeconomics , philosophy , physics , epistemology , theoretical physics
We use long low‐frequency data on prices and interest rates for Canada, Italy, Norway, Sweden, the UK and the USA to investigate empirical relationships previously taken to support the Gibson paradox and the Fisher effect. Using recent advances in applied econometrics, we reject the existence of a long‐run relationship between the price level and the nominal interest rate and between the inflation rate and the nominal interest rate.