Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.¹

Abstract

Using monthly data from G7 and eight Asian countries, support is found for the Fisher hypothesis, as well as a positive relation between long-horizon nominal stock returns and expected inflation but not between long-horizon nominal stock returns and contemporaneous inflation. These empirical results complement and strengthen those of Boudoukh and Richardson.

¹ The MATLAB program and data to compute the results in this paper are available from http://kafuwong.econ.hku.hk/research/fisher/.