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Applied Financial Economics Letters Volume 1, 2005 - Issue 5
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Original Articles

Nonlinear co-trending and the Fisher relationship in Japan: a note

Hiroshi Yamada
Pages 285-287 | Published online: 01 Sep 2006
 

Abstract

This note empirically reexamines the Fisher relation with Japanese monthly data for the last three decades. Following Bierens (Citation2000) it is examined by assuming that the nominal interest rate and inflation contain a nonlinear deterministic trend rather than a stochastic trend.

Notes

Cushman (Citation2002) applies the method to analyze the Canadian money demand function.

The data codes of the series in this note are JPI64 … F and JPI60B.

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