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Exploring historical economic relationships: two and a half centuries of British interest rates and inflation

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  • Terence C. Mills

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    (Department of Economics, Loughborough University, Loughborough, UK)

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    Abstract

    In this paper, we use new data and modern time series econometrics to reassess the relationship between interest rates, prices and inflation in Britain across the two and a half centuries from 1750 to 2006 for which reliable data are available. We pay particular attention to monetary regimes that may lead to breaks in the relationship and to associated shifts in the stochastic structure of interest rates and prices. The behaviour of real interest rates is examined in detail and estimates of the expected real rate are calculated using a variety of methods to check for robustness.

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    Bibliographic Info

    Article provided by Association Française de Cliométrie (AFC) in its journal Cliometrica, Journal of Historical Economics and Econometric History.

    Volume (Year): 2 (2008)
    Issue (Month): 3 (October)
    Pages: 213-228

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    Handle: RePEc:afc:cliome:v:2:y:2008:i:3:p:213-228

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    Web page: http://www.cliometrie.org
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    Related research

    Keywords: Gibson Paradox; Inflation; Interest rates; Prices; Real interest rates; Volatility;

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    Cited by:
    1. David Greasley & Les Oxley, 2010. "Cliometrics And Time Series Econometrics: Some Theory And Applications," Journal of Economic Surveys, Wiley Blackwell, vol. 24(5), pages 970-1042, December.
    2. Cheng, Hao & Kesselring, Randall G. & Brown, Christopher R., 2013. "The Gibson paradox: Evidence from China," China Economic Review, Elsevier, vol. 27(C), pages 82-93.
    3. Michael, Hatcher, 2013. "Aggregate and welfare effects of long run inflation risk under inflation and price-level targeting," SIRE Discussion Papers 2013-19, Scottish Institute for Research in Economics (SIRE).
    4. Michael, Hatcher, 2013. "Indexed versus nominal government debt under inflation and price-level targeting," SIRE Discussion Papers 2013-56, Scottish Institute for Research in Economics (SIRE).

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