Correct cointegration tests of the long-run relationship between nominal interest and inflation
Correct cointegration tests of the long-run relationship between nominal interest and inflation
复制标题
名义利率与通货膨胀之间长期关系的正确协整检验
DOI：
10.1080/00036849100000200
复制
发表时间：
1991
影响因子：
2.2
通讯作者：
Carl Bonham
中科院分区：
文献类型：
--
作者：
Carl Bonham
Fisher (1930) 假设表明，非平稳序列之间存在长期均衡关系：名义利率和预期通货膨胀。由于协整回归残差中存在未观察到的事前实际利率，测试这种协整关系变得复杂。研究了有关预期实际利率的随机特性的假设，并在费雪假设的多元协整检验中采用了事前实际利率的两个代理。
The Fisher (1930) hypothesis suggests that a long run equilibrium relationship exists between the nonstationary series: nominal interest and expected inflation. Testing such a cointegrating relationship is complicated by the presence of the unobserved ex ante real rate of interest in residuals from the cointegrating regression. Assumptions concerning the stochastic properties of the expected real rate of interest are examined and two proxies for the ex ante real rate are employed in multivariate cointegration tests of the Fisher hypothesis.