Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long-Run Test of the Mundell-Tobin Hypothesis
AbstractSome empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell-Tobin hypothesis. In this article we reinvestigate this negative relation from a long-term point of view using cointegration analysis. The data on the historical interest rate on T-bills and the inflation rate indicate that the Mundell-Tobin hypothesis does not hold in the long run for the United States, the United Kingdom, and Canada. We also obtain similar results using the real interest rate on index-linked gilt traded in the United Kingdom. The Southern Finance Association and the Southwestern Finance Association.
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Bibliographic InfoArticle provided by Southern Finance Association & Southwestern Finance Association in its journal The Journal of Financial Research.
Volume (Year): 25 (2002)
Issue (Month): 3 ()
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- Paul Alagidede & Theodore Panagiotidis, 2010.
"Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries,"
Working Paper Series
06_10, The Rimini Centre for Economic Analysis.
- Alagidede, Paul & Panagiotidis, Theodore, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, Elsevier, vol. 19(3), pages 91-100, August.
- Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," KoÃ§ University-TUSIAD Economic Research Forum Working Papers 1022, Koc University-TUSIAD Economic Research Forum.
- Paul Alagidede & Theodore Panagiotidis, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Discussion Paper Series 2010_06, Department of Economics, University of Macedonia, revised Apr 2010.
- Alagidede, Paul & Panagiotidis, Theodore, 2010. "Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries," Stirling Economics Discussion Papers 2010-07, University of Stirling, Division of Economics.
- repec:ebl:ecbull:v:5:y:2003:i:2:p:1-7 is not listed on IDEAS
- Kam, Eric, 2005. "A note on time preference and the Tobin Effect," Economics Letters, Elsevier, vol. 89(1), pages 127-132, October.
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