Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal
interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at …

In this paper, I use a structural vector autoregression framework to analyze the effects of a
permanent change in inflation on the long-run real interest rate and real output level in 14 …

This paper investigated the relationship between expected inflation and nominal interest
rates in Nigeria and the extent to which the Fisher effect hypothesis holds, for the period …

We investigate the empirical validity of the long-run Fisher effect using a technique capable
of testing for the existence of a long-run relationship regardless of whether the underlying …

In this paper, we use recent developments in the testing of long-run neutrality propositions to
measure the long-run response of real stock prices to a permanent inflation shock for 16 …

In this paper, we use the Bai and Perron (1998, 2001, 2003) methodology to test for multiple
structural breaks in the mean real interest rate for 13 industrialized countries. We find …

This paper tests whether the Fisher hypothesis holds for a sample of 26 countries by
assessing the long run relationship between nominal interest rates and inflation rates taking …

This book which provides an overview of contemporary topics related to the modelling of
financial time series, is set against a backdrop of rapid expansions of interest in both the …

The extent to which the stock market provides a hedge to investors against inflation is
examined for African stock markets. By employing parametric and nonparametric …

This paper investigates the relationship between expected inflation and nominal interest
rates in Nigeria and the extent to which the Fisher effect hypothesis holds, for the period …