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Inflationary Expectations and the Fisher Effect prior to World War I

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  • Perez, Stephen J
  • Siegler, Mark V

Abstract

We use univariate and multivariate techniques to estimate the expected price level changes for the U.S. during the pre-World War I period. We also examine contemporaneous evidence from agricultural commodity futures markets to measure inflationary expectations. Using previously neglected data on consumer prices and a variety of techniques, we draw three main conclusions not traditionally found for this period: (1) price level changes were not white noise, (2) a significant portion of deflationary and inflationary episodes was indeed expected, and (3) expected inflation is positively and significantly correlated with nominal interest rates, thus providing support for a short-run Fisher effect.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 35 (2003)
Issue (Month): 6 (December)
Pages: 947-65

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Handle: RePEc:mcb:jmoncb:v:35:y:2003:i:6:p:947-65

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Mitchener, Kris James & Weidenmier, Marc D, 2013. "Searching for Irving Fisher," CAGE Online Working Paper Series 133, Competitive Advantage in the Global Economy (CAGE).
  2. Richard C.K. Burdekin & Kris James Mitchener & Marc D. Weidenmier, 2011. "Irving Fisher and Price-Level Targeting in Austria: Was Silver the Answer?," NBER Working Papers 17123, National Bureau of Economic Research, Inc.
  3. Kris James Mitchener & Marc D. Weidenmier, 2010. "Searching for Irving Fisher," NBER Working Papers 15670, National Bureau of Economic Research, Inc.
  4. repec:cge:warwcg:132 is not listed on IDEAS
  5. Perez, Stephen J. & Siegler, Mark V., 2006. "Agricultural and monetary shocks before the great depression: A graph-theoretic causal investigation," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 720-736, December.
  6. Benjamin N. Dennis & Talan Iscan, 2007. "Accounting for Structural Change: Evidence from Two Centuries of U.S. Data," Department of Economics at Dalhousie University working papers archive account7, Dalhousie, Department of Economics.
  7. Dennis, Benjamin N. & Iscan, Talan B., 2009. "Engel versus Baumol: Accounting for structural change using two centuries of U.S. data," Explorations in Economic History, Elsevier, vol. 46(2), pages 186-202, April.
  8. Beckworth, David, 2007. "The postbellum deflation and its lessons for today," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 195-214, August.

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