Testing the Fisher hypothesis

This thesis examines the predictive power of the term structure of the interest rates on future inflation for eleven different countries. Significant evidence for a strong relationship is obtained for the United States, the United Kingdom, Canada, and South-Korea. A weak form of the Fisher effect is detected for Belgium, Germany, Poland, and Switzerland. Results tend to differ across the different countries and different time periods, coinciding with the research conducted by, for example, Mishkin (1984, 1990, and 1991) and Koustas and Serletis (1999). In addition, care should be taken when deriving inferences from the small-sample periods