Searching for Irving Fisher
AbstractThere is a long-standing debate as to whether the Fisher effect operated during the classical gold standard period. We break new ground on this question by developing a market-based measure of inflation expectations during the gold standard. We derive a measure of silver-gold inflation expectations using the interest-rate differential between Austrian silver and gold perpetuity bonds. Our use of the silver-gold interest rate differential is motivated by the fact that both gold and silver served as numeraires in the pre-WWI period, so that a change in the price of either precious metal would impact the prices of all goods and services. The empirical evidence suggests that silver-gold inflation expectations exhibited significant persistence at the weekly, monthly, and annual frequencies. Further, we find that there is a one-to-one relationship between silver-gold inflation expectations and the interest rate on Austrian perpetuity bonds that were denominated in paper currency. The analysis suggests the operation of a Fisher effect during the classical gold standard period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Competitive Advantage in the Global Economy (CAGE) in its series CAGE Online Working Paper Series with number 132.
Date of creation: 2013
Date of revision:
Contact details of provider:
Postal: CV4 7AL COVENTRY
Phone: +44 (0) 2476 523202
Fax: +44 (0) 2476 523032
Web page: http://www2.warwick.ac.uk/fac/soc/economics/research/centres/cage/
More information through EDIRC
Fisher effect; inflation expectations; gold standard;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-16 (All new papers)
- NEP-CBA-2013-08-16 (Central Banking)
- NEP-HIS-2013-08-16 (Business, Economic & Financial History)
- NEP-MON-2013-08-16 (Monetary Economics)
- NEP-SPO-2013-08-16 (Sports & Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Perez, Stephen J & Siegler, Mark V, 2003. " Inflationary Expectations and the Fisher Effect prior to World War I," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(6), pages 947-65, December.
- Flandreau, Marc & Galimard, Christophe & Jobst, Clemens & Nogués Marco, Maria Del Pilar, 2006. "The Bell Jar: Commercial Interest Rates between Two Revolutions, 1688-1789," CEPR Discussion Papers 5940, C.E.P.R. Discussion Papers.
- Marc Flandreau & Kim Oosterlinck, 2011.
"Was the Emergence of the International Gold Standard Expected? Melodramatic Evidence from Indian Government Securities,"
0005, European Historical Economics Society (EHES).
- Marc Flandreau & Kim Oosterlinck, 2011. "Was the Emergence of the International Gold Standard Expected?Melodramatic Evidence from Indian Government Securities," Working Papers CEB 11-001, ULB -- Universite Libre de Bruxelles.
- Marc Flandreau, Kim Oosterlinck, 2011. "Was the Emergence of the International Gold Standard Expected? Melodramatic Evidence from Indian Government Securities," IHEID Working Papers 01-2011, Economics Section, The Graduate Institute of International Studies.
- Barsky, Robert B & De Long, J Bradford, 1991.
"Forecasting Pre-World War I Inflation: The Fisher Effect and the Gold Standard,"
The Quarterly Journal of Economics,
MIT Press, vol. 106(3), pages 815-36, August.
- Robert B. Barsky & J. Bradford De Long, . "Forecasting Pre-World War I Inflation: The Fisher Effect and the Gold Standard," J. Bradford De Long's Working Papers _121, University of California at Berkeley, Economics Department.
- Bordo, Michael D. & Rockoff, Hugh, 1996.
"The Gold Standard as a “Good Housekeeping Seal of Approval”,"
The Journal of Economic History,
Cambridge University Press, vol. 56(02), pages 389-428, June.
- Michael D. Bordo, 1996. "The Gold Standard as a `Good Housekeeping Seal of Approval'," NBER Working Papers 5340, National Bureau of Economic Research, Inc.
- Hugh Rockoff & Michael D. Bordo, 1996. "The Gold Standard as a "Good Housekeeping Seal of Approval"," Departmental Working Papers 199528, Rutgers University, Department of Economics.
- Tullio, Guiseppe & Wolters, Jürgen, 2004.
"Monetary policy in Austria-Hungary, 1876 - 1913: An econometric analysis of the determinants of the Central Bank's discount rate and the liquidity ratio,"
2004/24, Free University Berlin, School of Business & Economics.
- Giuseppe Tullio & Jürgen Wolters, 2007. "Monetary Policy in Austria–Hungary, 1876–1913: An Econometric Analysis of the Determinants of the Central Bank’s Discount Rate and the Liquidity Ratio," Open Economies Review, Springer, vol. 18(5), pages 521-537, November.
- Barro, Robert J, 1979. "Money and the Price Level under the Gold Standard," Economic Journal, Royal Economic Society, vol. 89(353), pages 13-33, March.
- Shiller, Robert J & Siegel, Jeremy J, 1977. "The Gibson Paradox and Historical Movements in Real Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 891-907, October.
- Milton Friedman & Anna J. Schwartz, 1982. "Monetary Trends in the United States and United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975," NBER Books, National Bureau of Economic Research, Inc, number frie82-2.
- Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jane Snape).
If references are entirely missing, you can add them using this form.