Exploring historical economic relationships: two and a half centuries of British interest rates and inflation
AbstractIn 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 InfoArticle 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)
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; Dynamic Treatment Effect Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- N13 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: Pre-1913
- N14 - Economic History - - Macroeconomics and Monetary Economics; Industrial Structure; Growth; Fluctuations - - - Europe: 1913-
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- David Grreasley, 2010.
"Cliometrics and Time Series Econometrics: Some Theory and Applications,"
Working Papers in Economics
10/56, University of Canterbury, Department of Economics and Finance.
- 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.
- Michael Hatcher, 2013. "Indexed versus nominal government debt under inflation and price-level targeting," Working Papers 2013_11, Business School - Economics, University of Glasgow.
- Michael Hatcher, 2013. "Aggregate and welfare effects of long run inflation risk under inflation and price-level targeting," Working Papers 2013_03, Business School - Economics, University of Glasgow.
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