The Experts below are selected from a list of 273 Experts worldwide ranked by ideXlab platform

Frederic S. Mishkin - One of the best experts on this subject based on the ideXlab platform.

  • an empirical examination of the Fisher Effect in australia
    Economic Record, 1995
    Co-Authors: Frederic S. Mishkin, John Simon
    Abstract:

    This paper analyzes the Fisher Effect in Australia. Initial testing indicates that both interest rates and inflation contain unit roots. Furthermore, there are indications that the variables have non-standard error processes. To overcome problems associated with this and derive the correct small sample distributions of test statistics we make use of Monte Carlo simulations. These tests indicate that while a long-run Fisher Effect seems to exist, there is no evidence of a short-run Fisher Effect. This suggests that, while short-run changes in interest rates reflect changes in monetary policy, longer run levels indicate inflationary expectations. Thus, the longer run level of interest rates should not be used to characterize the stance of monetary policy.

  • is the Fisher Effect for real a reexamination of the relationship between inflation and interest rates
    Journal of Monetary Economics, 1992
    Co-Authors: Frederic S. Mishkin
    Abstract:

    Abstract This paper resolves the puzzle of why a strong Fisher Effect (a high correlation between the level of interest rates and inflation) occurs only during certain periods but not for others. Empirical evidence finds no support for a short-run Fisher Effect in which a change in expected inflation is associated with a change in interest rates, but supports the existence of a long-run Fisher Effect in which inflation and interest rates have a common stochastic trend when they exhibit trends. These results indicate that a strong Fisher Effect will only appear in samples where inflation and interest rates have trends.

  • is the Fisher Effect for real a reexamination of the relationship between inflation and interest rates
    National Bureau of Economic Research, 1991
    Co-Authors: Frederic S. Mishkin
    Abstract:

    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.

Kazi Ashraful Alam - One of the best experts on this subject based on the ideXlab platform.

  • an empirical evidence of Fisher Effect in bangladesh a time series approach
    Social Science Research Network, 2008
    Co-Authors: Md Gazi Salah Uddin, Md Mahmudul Alam, Kazi Ashraful Alam
    Abstract:

    This paper is an attempt to trace the relationship between interest rates and rates of inflation in the economy of Bangladesh. In view of this, a time series approach is considered to examine the empirical evidence of Fisher’s Effect in the country. By applying OLS and Unit Root test, the estimated value is used to determine the casual relationship between interest rates and inflation for the monthly sample period of August 1996 to December 2003. The empirical results suggest that there does not exist any co-movement of inflation with interest rates and the relationship between the variables is also not significant for Bangladesh. Further, the trends advocate that the inflation premium, equal to expected inflation that investors add to real-risk free rate of return, is inEffective in the country.

Myles S Wallace - One of the best experts on this subject based on the ideXlab platform.

Patrick J Coe - One of the best experts on this subject based on the ideXlab platform.

  • an ardl bounds test of the long run Fisher Effect in the united states and canada
    Social Science Research Network, 2003
    Co-Authors: Frank Atkins, Patrick J Coe
    Abstract:

    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.

  • an ardl bounds test of the long run Fisher Effect in the united states and canada
    Journal of Macroeconomics, 2002
    Co-Authors: Frank Atkins, Patrick J Coe
    Abstract:

    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 the inflation rate 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.

Md Gazi Salah Uddin - One of the best experts on this subject based on the ideXlab platform.

  • an empirical evidence of Fisher Effect in bangladesh a time series approach
    Social Science Research Network, 2008
    Co-Authors: Md Gazi Salah Uddin, Md Mahmudul Alam, Kazi Ashraful Alam
    Abstract:

    This paper is an attempt to trace the relationship between interest rates and rates of inflation in the economy of Bangladesh. In view of this, a time series approach is considered to examine the empirical evidence of Fisher’s Effect in the country. By applying OLS and Unit Root test, the estimated value is used to determine the casual relationship between interest rates and inflation for the monthly sample period of August 1996 to December 2003. The empirical results suggest that there does not exist any co-movement of inflation with interest rates and the relationship between the variables is also not significant for Bangladesh. Further, the trends advocate that the inflation premium, equal to expected inflation that investors add to real-risk free rate of return, is inEffective in the country.