The Fisher effect and the term structure of interest rates: tests of cointegration
Article Abstract:
The conditions by which near-term inflation innovations can be transmitted to near-term and long-term interest rates are identified, based on an expectations model of interest rate term structure. The expectation theory and the Fisher effect are both supported by cointegration tests. Fisher effect literature has previously discounted the possible relationship between long-term interest rates and inflation. Shocks to interest rates and inflation could be long-lasting and the Fisher effect may not be shown in data for some time.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1993
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Monetary policy when interest rates are bounded by zero
Article Abstract:
The optimal rate of inflation is positive, as obtained by using a small model of the US economy which captures forward-looking behavior both in financial markets and in product markets and whose extensive qualities coincide with large-scale macroeconomic models. Long-term rates in forward-looking bond markets decrease due to news about adverse spending shock and the decrease in real rates can be restrained by the inability of nominal rates to fall below zero.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1997
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An analysis of the real interest rate under regime shifts
Article Abstract:
The movement of the real interest rate in the US from 1961 to 1986 is examined using the time series method developed by Hamilton (1989). The method identifies three regimes that may influence the interest rate's mean and variance. Results show changes in the mean and variance using the inflation rate series. Similarly, shifts in the ex-post real interest rate from the periods 1961-1973, 1973-1980 and 1980-1986 due to external market forces were illustrated.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1996
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