According to the Fisher hypothesis, the nominal interest rate is equal to the real interest rate, plus expected inflation. Results concerning the empirical validity of this hypothesis are not unanimous. These contradictions may be due to the fact that the usual concept of cointegration is too...

The aim of this paper is to study the long-term relationship between oil prices and economic activity, proxied by GDP. To account for asymmetries existing in the links between the two variables, we propose an approach based on asymmetric cointegration. Our empirical analysis concerns the U.S....