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The Fisher hypothesis revisited: new evidence

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Abstract:

The nominal interest rate is examined with the IS-LM model incorporating the Fisher hypothesis. Eight different interest rates are considered for different sample periods ending in 1993. When the Livingston survey data are used, the coefficients for the expected inflation rate, real quantity of money and government spending are significant in most cases. When the adaptive expectations model is applied, the coefficients for real quantity of money and government spending are insignificant in most cases. The Fisher hypothesis only holds for the federal funds rate or the AAA bond rate. The linear-form regression can be rejected at the 1% level in favour of the Box-Cox general functional form.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/000368497326444

Publication date: August 1, 1997

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routledg/raef/1997/00000029/00000008/art00008
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