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

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Author Info
Terence C. Mills () (Department of Economics, Loughborough University, Loughborough, UK)
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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Publisher 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;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
N13 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - Europe: Pre-1913
N14 - Economic History - - Macroeconomics and Monetary Economics; Growth and Fluctuations - - - Europe: 1913-

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This page was last updated on 2009-11-24.

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