The Long Run Fisher Effect

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The Long-run Fisher Effect

Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (2 download)

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Book Synopsis The Long-run Fisher Effect by :

Download or read book The Long-run Fisher Effect written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Empirical support for the long-run Fisher effect, a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate, has been hard to come by. This paper provides a plausible explanation of why past studies have been unable to find support for the long-run Fisher effect. This paper argues that the necessary permanent change to the inflation rate following a monetary shock has not occurred in the industrialized countries of Australia, Austria, Belgium, Canada, Denmark, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Norway, Sweden, Switzerland, the United Kingdom, and the United States. Instead, this paper shows that inflation in these countries follows a mean-reverting, fractionally integrated, long-memory process, not the nonstationary inflation process that is integrated of order one or larger found in previous studies of the Fisher effect. Applying a bivariate maximum likelihood estimator to a fractionally integrated model of inflation and the nominal interest rate, the inflation rate in all seventeen countries is found to be a highly persistent, fractionally integrated process with a positive differencing parameter significantly less than one. Hence, in the long run, inflation in these countries will be unaffected by a monetary shock, and a test of the long-run Fisher effect will be invalid and uninformative as to the truthfulness of the long-run Fisher effect hypothesis."--Federal Reserve Bank of Atlanta web site.

Alternative Monetary Regimes

Author : Colin Dearborn Campbell
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Alternative Monetary Regimes by : Colin Dearborn Campbell

Download or read book Alternative Monetary Regimes written by Colin Dearborn Campbell and published by . This book was released on 1986 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Is the Fisher Effect for Real?

Author : Frederic S. Mishkin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)

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Book Synopsis Is the Fisher Effect for Real? by : Frederic S. Mishkin

Download or read book Is the Fisher Effect for Real? written by Frederic S. Mishkin and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic puzzle about the so-called Fisher effect, in which movements in short-term interest rates primarily reflect fluctuations in expected inflation, is why a strong Fisher effect occurs only for certain periods but not for others. This paper resolves this puzzle by reexamining the relationship between inflation and interest rates with modern time-series techniques. Recognition that the level of inflation and interest rates may contain stochastic trends suggests that the apparent ability of short-term interest rates to forecast inflation in the postwar United States is spurious. Additional evidence does not support the presence of a short-run Fisher effect but does support the existence of a long-run Fisher effect in which inflation and interest rates trend together in the long run when they exhibit trends. The evidence here can explain why the Fisher effect appears to be strong only for particular sample periods, but not for others. The conclusion that there is a long-run Fisher effect implies that when inflation and interest rates exhibit trends, these two series will trend together and thus there will be a strong correlation between inflation and interest rates. On the other hand, the nonexistence of a short-run Fisher effect implies that when either inflation and interest rates do not display trends, there is no long-run Fisher effect to produce a strong correlation between interest rates and inflation. The analysis in this paper resolves an important puzzle about when the Fisher effect appears in the data.

The Fisher Hypothesis and Inflation Persistence

Author : Mr.Wensheng Peng
Publisher : International Monetary Fund
ISBN 13 : 1451940823
Total Pages : 28 pages
Book Rating : 4.4/5 (519 download)

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Book Synopsis The Fisher Hypothesis and Inflation Persistence by : Mr.Wensheng Peng

Download or read book The Fisher Hypothesis and Inflation Persistence written by Mr.Wensheng Peng and published by International Monetary Fund. This book was released on 1995-11-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an empirical evaluation of the strength of the Fisher effect which predicts a positive relationship between the nominal interest rate and inflation in the postwar period in the five major industrial countries, utilizing recently developed time series techniques. The results suggest that the Fisher effect is stronger in France, the United Kingdom, and the United States than in Germany and Japan. It is argued that the differences in the linkage between the interest rate and the inflation rate as between the two groups of countries are reflected in the time series properties of the inflation rates, which are, in turn, partly attributable to the different extent to which monetary authorities accommodated inflationary shocks. The empirical results have a number of implications for the long-term trend in the SDR interest rate and for the financing of the Fund’s operations.

Inflation Expectations

Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)

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Book Synopsis Inflation Expectations by : Peter J. N. Sinclair

Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.

The Non-adjustment of Nominal Interest Rates

Author : Lawrence H. Summers
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.3/5 (9 download)

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Book Synopsis The Non-adjustment of Nominal Interest Rates by : Lawrence H. Summers

Download or read book The Non-adjustment of Nominal Interest Rates written by Lawrence H. Summers and published by . This book was released on 1982 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper critically re-examines theory and evidence on the relation- ship between interest rates and inflation. It concludes that there is no evidence that interest rates respond to inflation in the way that classical or Keynesian theories suggest, For the period 1860-1940, it does not appear that inflationary expectations had any significant impact on rates of inflation in the short or long run. During the post-war period interest rates do appear to be affected by inflation. However, the effect is much smaller than any theory which recognizes tax effects would predict. Further- more, all the power in the inflation interest rate relationship comes from the 1965-1971 period. Within the 1950's or 1970's, the relationship is both statistically and substantively insignificant. Various explanations for the failure of the theoretically predicted relationship to hold are considered. The relationship between inflation and interest rates remains weak at the even low frequencies. This is taken as evidence that cyclical factors or errors in measuring inflation expectations cannot account for the failure of the results to bear out Fisher's theoretical prediction. Rather, comparison of real interest rates and stock market yields suggests that Fisher was correct in pointing to money illusion as the cause of the imperfect adjustment of interest rates to expected inflation.

An Ardl Bounds Test of the Long-Run Fisher Effect in the United States and Canada

Author : Frank J. Atkins
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)

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Book Synopsis An Ardl Bounds Test of the Long-Run Fisher Effect in the United States and Canada by : Frank J. Atkins

Download or read book An Ardl Bounds Test of the Long-Run Fisher Effect in the United States and Canada written by Frank J. Atkins and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the empirical validity of the long-run Fisher effect using a technique capable of testing for the existence of a long-run relationship regardless of whether the underlying time series are individually I(1) or I(0). Using a variety of interest rates for the United States and Canada we find evidence supporting the existence of a long-run relationship in which the response of the nominal interest rate to a change in inflation is close to (and consistent with) unity. We interpret this as evidence in favor of the Fisher effect. However, our results do not support the tax adjusted Fisher effect for Canada and provide only mixed evidence for the United States.

Evidence on the Fisher Equation

Author : David M. Skanderson
Publisher :
ISBN 13 :
Total Pages : 392 pages
Book Rating : 4.:/5 (32 download)

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Book Synopsis Evidence on the Fisher Equation by : David M. Skanderson

Download or read book Evidence on the Fisher Equation written by David M. Skanderson and published by . This book was released on 1994 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Behavioral Economics of Inflation Expectations

Author : Tobias F. Rötheli
Publisher :
ISBN 13 : 9781316987056
Total Pages : pages
Book Rating : 4.9/5 (87 download)

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Book Synopsis The Behavioral Economics of Inflation Expectations by : Tobias F. Rötheli

Download or read book The Behavioral Economics of Inflation Expectations written by Tobias F. Rötheli and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "The notion that expectations play a key role in economic decision making is a very old one. Over the past 100 years, major advances in the application of this insight in the formulation of economic models have been made in various subfields of economics. The concept of extrapolation, the idea that past observations of a series are the basis for making projections into the future, was present from the start of the modeling of dynamic economic processes"--

The Purchasing Power of Money

Author : Irving Fisher
Publisher :
ISBN 13 :
Total Pages : 558 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis The Purchasing Power of Money by : Irving Fisher

Download or read book The Purchasing Power of Money written by Irving Fisher and published by . This book was released on 1911 with total page 558 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Fisher Effect and the Long-run Phillips Curve

Author : Shigeyoshi Miyagawa
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (186 download)

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Book Synopsis The Fisher Effect and the Long-run Phillips Curve by : Shigeyoshi Miyagawa

Download or read book The Fisher Effect and the Long-run Phillips Curve written by Shigeyoshi Miyagawa and published by . This book was released on 2002 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Fisher Hypothesis and Inflation Persistence

Author : Wensheng Peng
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis The Fisher Hypothesis and Inflation Persistence by : Wensheng Peng

Download or read book The Fisher Hypothesis and Inflation Persistence written by Wensheng Peng and published by International Monetary Fund. This book was released on 1995-11 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an empirical evaluation of the strength of the Fisher effect which predicts a positive relationship between the nominal interest rate and inflation in the postwar period in the five major industrial countries, utilizing recently developed time series techniques. The results suggest that the Fisher effect is stronger in France, the United Kingdom, and the United States than in Germany and Japan. It is argued that the differences in the linkage between the interest rate and the inflation rate as between the two groups of countries are reflected in the time series properties of the inflation rates, which are, in turn, partly attributable to the different extent to which monetary authorities accommodated inflationary shocks. The empirical results have a number of implications for the long-term trend in the SDR interest rate and for the financing of the Fund’s operations.

The Long Run Relationship between Nominal Interest Rates and Inflation

Author : William J. Crowder
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis The Long Run Relationship between Nominal Interest Rates and Inflation by : William J. Crowder

Download or read book The Long Run Relationship between Nominal Interest Rates and Inflation written by William J. Crowder and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical literature examining the Fisher equation has produced results that are generally inconsistent with the simple textbook representation. Much of this evidence is obtained from statistical analysis that fails to recognize that the nominal interest rate and expected inflation may be modeled as distinct nonstationary series that share a common stochastic trend. Using a fully efficient estimator of theimplied cointegration vector we find evidence of a postwar Fisher relation that is consistent with the standard textbook representation even when taxes on interest income are taken into account. Dynamic analysis based on this long- run relation identifies the common source of the instability (nonstationarity) in the system of nominal interest rates and inflation as the accumulation of inflation innovations. The dynamic response of the system to these shocks is examined by distinguishing the shock that leaves a permanent imprint on the system from the shock that has only a transitory effect.

Changes in Regime and the Long Run Fisher Effect

Author : Olan Henry
Publisher :
ISBN 13 : 9780734016614
Total Pages : 29 pages
Book Rating : 4.0/5 (166 download)

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Book Synopsis Changes in Regime and the Long Run Fisher Effect by : Olan Henry

Download or read book Changes in Regime and the Long Run Fisher Effect written by Olan Henry and published by . This book was released on 1999 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Nonadjustment of Nominal Interest Rates

Author : Lawrence H. Summers
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (873 download)

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Book Synopsis The Nonadjustment of Nominal Interest Rates by : Lawrence H. Summers

Download or read book The Nonadjustment of Nominal Interest Rates written by Lawrence H. Summers and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper critically re-examines theory and evidence on the relation- ship between interest rates and inflation. It concludes that there is no evidence that interest rates respond to inflation in the way that classical or Keynesian theories suggest, For the period 1860-1940, it does not appear that inflationary expectations had any significant impact on rates of inflation in the short or long run. During the post-war period interest rates do appear to be affected by inflation. However, the effect is much smaller than any theory which recognizes tax effects would predict. Further- more, all the power in the inflation interest rate relationship comes from the 1965-1971 period. Within the 1950's or 1970's, the relationship is both statistically and substantively insignificant. Various explanations for the failure of the theoretically predicted relationship to hold are considered. The relationship between inflation and interest rates remains weak at the even low frequencies. This is taken as evidence that cyclical factors or errors in measuring inflation expectations cannot account for the failure of the results to bear out Fisher's theoretical prediction. Rather, comparison of real interest rates and stock market yields suggests that Fisher was correct in pointing to money illusion as the cause of the imperfect adjustment of interest rates to expected inflation

Long-term Evidence on the Tobin and Fisher Effects

Author : Shaghil Ahmed
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Long-term Evidence on the Tobin and Fisher Effects by : Shaghil Ahmed

Download or read book Long-term Evidence on the Tobin and Fisher Effects written by Shaghil Ahmed and published by . This book was released on 1996 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Money Illusion

Author : Irving Fisher
Publisher : Simon and Schuster
ISBN 13 : 1627939997
Total Pages : 152 pages
Book Rating : 4.6/5 (279 download)

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Book Synopsis The Money Illusion by : Irving Fisher

Download or read book The Money Illusion written by Irving Fisher and published by Simon and Schuster. This book was released on 2014-03-27 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: In economics, money illusion refers to the tendency of people to think of currency in nominal, rather than real, terms. In other words, the numerical/face value (nominal value) of money is mistaken for its purchasing power (real value). This is false, as modern fiat currencies have no inherent value and their real value is derived from their ability to be exchanged for goods and used for payment of taxes. The term was coined by John Maynard Keynes in the early twentieth century. Almost every one is subject to the "Money Illusion" in respect to his own country's currency. This seems to him to be stationary while the money of other countries seems to change. It may seem strange but it is true that we see the rise or fall of foreign money better than we see that of our own.-IRVING FISHER