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Original Articles

A simple method to test the Fisher effect

Pages 477-479 | Received 14 Nov 1996, Published online: 03 Sep 2008
 

Abstract

This alternative method of analysis applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e. it is robust to the non-normality of the error term, it is unnecessary to formulate the expected inflation rate explicitly, and the returns of multiple assets can be analysed simultaneously.

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