Document Type

Article

Publication Date

9-1-2013

Abstract

This study investigates the validity of both the conventional and tax-adjusted Fisher effects using time series methods such as the ARDL bounds test, and Gregory-Hansen (G-H) cointegration test. To compare the conventional and tax-adjusted Fisher effects, we use two different time series data for interest rates: 1) interest rates adjusted for taxes, and 2) interest rates not adjusted for taxes. Using monthly changes in quarterly and annual interest and inflation rates, both the G-H and ARDL bound tests support the conventional and tax-adjusted Fisher effects. However, the magnitude of the inflation coefficient in the long-run relationship tends to decline for the tax adjusted Fisher effect.

Identifier

2334-282X

Creative Commons License

Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 3.0 License.

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