Fisherian Transmission and Efficient Arbitrage under Partial Financial Indexation: The Case of Chile
AbstractPartial financial indexation in Chile has produced a system in which most bank deposits are 30-day nonindexed deposits or 90-day indexed deposits. This paper uses data on the interest rates of these financial assets to test the joint hypothesis of rational expectations, efficient arbitrage, and a time-invariant liquidity premium. The data are also used to test whether the indexed/nonindexed interest spread is an accurate predictor of future changes in inflation, as the Fisher effect dictates. The significant implications of this empirical analysis for monetary policy are discussed.
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Bibliographic InfoArticle provided by Palgrave Macmillan in its journal Staff Papers - International Monetary Fund.
Volume (Year): 39 (1992)
Issue (Month): 1 (March)
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Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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- Pamela Jervis, 2007. "Inflation Compensation and Its Components in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 10(2), pages 27-56, August.
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