An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect
AbstractThis paper investigates the relationship between expected inflation and the nominal interest rate using Australia data. Recently developed time series techniques are used that allow for estimation across different regimes where the timing and number of structural breaks are not known a priori. The results are consistent with the existence of significant struc- tural breaks in the relation between interest rates and inflation, with there being some evidence that these are associated with changes in taxation. After allowing for the structural breaks, it appears that interest rates fail to fully reflect anticipated inflation.
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Bibliographic InfoPaper provided by The University of Melbourne in its series Department of Economics - Working Papers Series with number 786.
Length: 26 pages
Date of creation: 2001
Date of revision:
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INFLATION ; INTEREST RATE ; TIME SERIES;
Find related papers by JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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