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| Author: | Crowder, W. Hoffman, D. |
| Title: | The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited |
| Journal: | Journal of Money, Credit and Banking
1996 : FEB, VOL. 28:1, p. 102-118 |
| Index terms: | INTEREST RATES INFLATION MONEY |
| Language: | eng |
| Abstract: | This paper extends the empirical literature on the Fisher equation in several new directions. Following the lead of Mishkin and EL, the authors recognize that the persistence in nominal interest rates and inflation can be modelled under the unit root hypothesis. The authors apply a fully efficient estimator (Johansen 1988) that separates estimation of the long-run equilibrium relationship from nuisance parameters that characterize the short-run dynamics. In contrast to EL, the estimates the authors obtain are consistent with a long-run Fisher relation. |
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