Evidence from lesser developed countries on the fisher hypothesis: A cointegration analysis

James E. Payne; Bradley T. Ewing

doi:10.1080/758530649

Evidence from lesser developed countries on the fisher hypothesis: A cointegration analysis

James E. Payne, Bradley T. Ewing

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Abstract

This paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia, Pakistan, and Sri Lanka provide evidence to support the full Fisher effect in which a unit proportional relationship exists between nominal interest rates and inflation.

Original language	English
Pages (from-to)	683-687
Number of pages	5
Journal	Applied Economics Letters
Volume	4
Issue number	11
DOIs	https://doi.org/10.1080/758530649
State	Published - Nov 1997

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abstract = "This paper examines the Fisher hypothesis for a sample of less developed countries. Recognizing the possibility of spurious regression results, tests of the Fisher hypothesis are undertaken utilizing the Johansen-Juselius cointegration procedure. Of the nine countries studied, only Malaysia, Pakistan, and Sri Lanka provide evidence to support the full Fisher effect in which a unit proportional relationship exists between nominal interest rates and inflation.",

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Evidence from lesser developed countries on the fisher hypothesis: A cointegration analysis

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