We investigate the empirical validity of the long-run Fisher effect using a technique capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(1) or I(0). Using a variety of interest rates for the United States and Canada we find evidence supporting the existence of a long-run relationship in which the response of the nominal interest rate to a change in the inflation rate is close to (and consistent with) unity. We interpret this as evidence in favor of the Fisher effect. However, our results do not support the tax adjusted Fisher effect for Canada and provide only mixed evidence for the United States. 2002 Elsevier Science Inc. All rights reserved.

Additional Metadata
Persistent URL dx.doi.org/10.1016/S0164-0704(02)00019-8
Journal Journal of Macroeconomics
Citation
Atkins, F.J. (Frank J.), & Coe, P. (2002). An ARDL bounds test of the long-run Fisher effect in the United States and Canada. Journal of Macroeconomics, 24(2), 255–266. doi:10.1016/S0164-0704(02)00019-8