Abstract
Based on the threshold panel data model, this study employs the quarterly panel data of 38 countries between 1981 and 2014 to test whether economic growth asymmetry, expected inflation, and unexpected inflation affect the Fisher hypothesis and Fama's proxy hypothesis. The empirical results show the following: (1) When real economic growth rate is greater than the threshold (-0.009), Fisher hypothesis is supported. (2) When real economic growth rate is less than the threshold (-0.009), two scenarios hold true: before real variables are included, Fisher hypothesis is rejected; and when real variables are included, real economic growth is negative, inflation is expected, and thus, Fama's hypothesis is supported.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.