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  • Mitchener, Kris James

    (University of Warwick)

  • Weidenmier, Marc D

    (Claremont McKenna College)

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    Abstract

    There 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.

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    File URL: http://www2.warwick.ac.uk/fac/soc/economics/research/centres/cage/research/wpfeed/archive/133-mitchener.pdf
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    Bibliographic Info

    Paper provided by Competitive Advantage in the Global Economy (CAGE) in its series CAGE Online Working Paper Series with number 133.

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    Date of creation: 2013
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    Handle: RePEc:cge:warwcg:133

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    Web page: http://www2.warwick.ac.uk/fac/soc/economics/research/centres/cage/
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    Keywords: Fisher effect; inflation expectations; gold standard;

    This paper has been announced in the following NEP Reports:

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