フィッシャー方程式に関するノート

概要

論文の詳細を見る
This study applies the generalized method of moments developed by Hansen to the conditional restrictions implied by the Fisher effect. This approach has some advantages, i.e., it is robust to the nonnormality of the error term, it is unnecessary to formulate the expected inflation rate explicitly, and the returns on multiple assets can be analyzed simultaneously.
神戸大学の論文
1997-03-10