DO EXPECTED SHIFTS IN INFLATION AFFECT ESTIMATES OF THE LONG-RUN FISHER RELATION

• 成果类型: Article
• 署名作者: EVANS, MDD; LEWIS, KK
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329244
• 发表日期: 1995
• 页码: 225-253
• 关键词: term interest-rates; stock returns; real; money; hypothesis; exchange; prices; time

摘要

Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one-for-one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long-run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one-for-one.