An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration
Yükleniyor...
Tarih
2015-03
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Science BV
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study examines the generalized Fisher hypothesis as applied to common stocks by using the recently proposed second generation panel cointegration tests. Unlike their predecessors, these new tests assume the existence of cross-section dependence in the data. For the sample analyzed, we report that these new tests, but not their predecessors, provide strong support for the existence of cointegration between stock and goods prices. Moreover, further analysis cannot reject the hypothesis that the cointegration relation is linear. Finally, our Fisher coefficient estimates are in the range between 0.68 and 1.27 and give support to the generalized Fisher hypothesis.
Açıklama
Anahtar Kelimeler
Fisher hypothesis, Linear and nonlinear panel cointegration, Cross-section dependence, Common correlated effects, Bootstrap, Transition autoregressive models, Unit-root, Heterogeneous panels, Error-Correction, Stock returns, Inflation, Specification, Inference
Kaynak
Journal of International Financial Markets, Institutions and Money
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
35
Sayı
Künye
Yüksel, S. A., Omay, T. & Yüksel, A. (2015). An empirical examination of the generalized fisher effect using cross-sectional correlation robust tests for panel cointegration. Journal Of International Financial Markets Institutions & Money, 35, 18-29. doi:10.1016/j.intfin.2014.12.007
