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Applied Economics Letters Volume 29, 2022 - Issue 21
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Research Article

Asymmetric Fisher effect in inflation targeting emerging markets: evidence from quantile co-integration

Saban Nazlioglub Department of Economics and Finance, Nisantası University, İstanbul, Turkey;a Department of International Trade and Finance, Pamukkale University, Denizli, TurkeyCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-3607-3434View further author information
ORCID Icon,
SinemPinar Gurelc Department of Economics, Pamukkale University, Denizli, TurkeyView further author information
,
Sevcan Gunesc Department of Economics, Pamukkale University, Denizli, TurkeyView further author information
&
Emre Kilicd Department of Capital Markets and Portfolio Management, Nisantası University, İstanbul, TurkeyORCID Iconhttps://orcid.org/0000-0003-2900-5123View further author information
ORCID Icon
Pages 2007-2014 | Published online: 09 Sep 2021

References

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  • Fisher, I. 1930. Theory of Interest: As Determined by Impatience to Spend Income and Opportunity to Invest It. Clifton: Augustusm Kelly Publishers.
  • Jarque, C. M., and A. K. Bera. 1987. “A Test for Normality of Observations and Regression Residuals.” International Statistical Review/Revue Internationale De Statistique 55 (2): 163–172.
  • Kwiatkowski, D., P. C. Phillips, P. Schmidt, and Y. Shin. 1992. “Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series Have a Unit Root?” Journal of Econometrics 54 (1–3): 159–178. doi:10.1016/0304-4076(92)90104-Y.
  • Nazlioglu, S. 2021. “TSPDLIB: GAUSS Time Series and Panel Data Methods (Version 2.0).: Source Code. https://github.com/aptech/tspdlib
  • Panopoulou, E., and T. Pantelidis. 2016. “The Fisher Effect in the Presence of Time-varying Coefficients.” Computational Statistics & Data Analysis 100: 495–511. doi:10.1016/j.csda.2014.08.015.
  • Shin, Y. 1994. “A Residual-based Test of the Null of Cointegration against the Alternative of No Cointegration.” Econometric Theory 10 (1): 91–115. doi:10.1017/S0266466600008240.
  • Tsong, C. C., and A. Hachicha. 2014. “Revisiting the Fisher Hypothesis for Several Selected Developing Economies: A Quantile Cointegration Approach.” Economic Issues 19 (1): 57–72.
  • Xiao, Z. 2009. “Quantile Cointegrating Regression.” Journal of Econometrics 150 (2): 248–260. doi:10.1016/j.jeconom.2008.12.005.

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