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 general inflation expectations during the gold standard. Since the gold-silver price ratio was widely used to track inflation during the gold standard period, we are able to derive a measure of inflation expectations using the interest-rate differential between Austrian silver and gold perpetuity bonds with identical terms. Our empirical evidence suggests that inflation expectations exhibited significant persistence at the weekly, monthly, and annual frequencies. We also find that market participants updated long-run inflation expectations following short-run changes in the forward silver price of gold. The evidence suggests the operation of a long-run Fisher effect during the classical gold standard period.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 15670.
Date of creation: Jan 2010
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Note: DAE ME
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Find related papers by JEL classification:
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
- N2 - Economic History - - Financial Markets and Institutions
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