Validity of the short‐ and long‐run Fisher relationships: an empirical analysis

Abstract

Outlines the Fisher hypothesis, cites previous relevant research and develops mathematical models for long‐run and short‐run Fisher relationships. Applies them to the UK, USA, Canada and Japan, using 1978‐1997 monthly data and Eurocurrency interest rates to explore the relationship between nominal interest rates and inflation rates. Finds a significant positive relationship for all four currencies in the long run; and for the UK and Japan but not for Canada in the short run, with significance only at the 10 per cent level for the USA.

Citation

Shrestha, K. and Chen, S. (1998), "Validity of the short‐ and long‐run Fisher relationships: an empirical analysis", Managerial Finance, Vol. 24 No. 8, pp. 64-76. https://doi.org/10.1108/03074359810765660