A tale of two effects

• 成果类型: Article
• 署名作者: Evans, Paul; Wang, Xiaojun
• 署名单位: University System of Ohio; Ohio State University; University of Hawaii System
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.90.1.147
• 发表日期: 2008-02
• 页码: 147-157
• 关键词: monetary-policy rules; gibson paradox; interest-rates; UNITED-STATES; inflation

摘要

This paper investigates the relationship between nominal interest rates and prices using nearly two centuries of data from ten industrial countries. Both a positive relationship between interest rates and price levels (that is, a positive Gibson effect) and a negative relationship between interest rates and subsequent price changes (that is, a negative Fama-Fisher effect) prevailed until World War I. We propose a simple explanation wherein this doubly paradoxical juxtaposition of effects arises when money is supplied inelastically and prices are flexible. This double paradox disappeared after World War II when economies became mostly characterized by elastic money and sticky prices. During that period, a positive Fama-Fisher effect emerged while the Gibson effect largely dissipated.