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Panel cointegration tests of the Fisher effect (replication data)
Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a... -
Understanding the Fisher equation (replication data)
It is argued that univariate long memory estimates based on ex post data tend to underestimate the persistence of ex ante variables (and, hence, that of the ex post variables...
