The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited.(correct estimation of Fisher relation shows ... from: Journal of Money, Credit & Banking
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Book Details
Author(s)
William J. Crowder, Dennis L. Hoffman
Publisher
Ohio State University Press
ISBN / ASIN
B00093TYM8
ISBN-13
978B00093TYM2
Marketplace
France 🇫🇷
Description
This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on February 1, 1996. The length of the article is 7268 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the supplier: 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 the 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 the implied 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 (non-stationary) 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 transitory effect. (Printed by permission of the publisher.)
Citation Details
Title: The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited.(correct estimation of Fisher relation shows inflation innovation to be the source of interest-rate instability)
Author: William J. Crowder
Publication:Journal of Money, Credit & Banking (Refereed)
Date: February 1, 1996
Publisher: Ohio State University Press
Volume: v28 Issue: n1 Page: p102(17)
Distributed by Thomson Gale
From the supplier: 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 the 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 the implied 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 (non-stationary) 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 transitory effect. (Printed by permission of the publisher.)
Citation Details
Title: The long-run relationship between nominal interest rates and inflation: the Fisher equation revisited.(correct estimation of Fisher relation shows inflation innovation to be the source of interest-rate instability)
Author: William J. Crowder
Publication:Journal of Money, Credit & Banking (Refereed)
Date: February 1, 1996
Publisher: Ohio State University Press
Volume: v28 Issue: n1 Page: p102(17)
Distributed by Thomson Gale
