IS THE FISHER EFFECT FOR REAL - A REEXAMINATION OF THE RELATIONSHIP BETWEEN INFLATION AND INTEREST-RATES

• 成果类型: Article
• 署名作者: MISHKIN, FS
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/0304-3932(92)90060-F
• 发表日期: 1992
• 页码: 195-215

摘要

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.