Quantile cointegration analysis of the Fisher hypothesis

► We provide possible explanations for the empirical failure of the Fisher hypothesis by employing the quantile cointegration methodology. ► Our empirical results suggest that though the nominal interest rate and inflation move together in the long run, the cointegrating coefficients between the two variables display an asymmetric pattern depending on the sign and size of the shocks. ► Asymmetric monetary policies may be responsible for the findings.