Advanced Search
MyIDEAS: Login

Citations for "Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates"

by Frederic S. Mishkin

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Chang-Jin Kim & Jaeho Kim, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," Discussion Paper Series 1306, Institute of Economic Research, Korea University.
  2. Simeon Coleman & Kavita Sirichand, 2011. "Fractional integration and the volatility of UK interest rates," Discussion Papers in Economics 11/29, Department of Economics, University of Leicester, revised May 2011.
  3. Lajeri, Fatma & Dermine, Jean, 1999. "Unexpected inflation and bank stock returns: The case of France 1977-1991," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 939-953, June.
  4. Basma Bekdache & Christopher F. Baum, 2000. "A re-evaluation of empirical tests of the Fisher hypothesis," Boston College Working Papers in Economics 472, Boston College Department of Economics.
  5. Meredith Beechey & Par Osterholm, 2007. "The rise and fall of U.S. inflation persistence," Finance and Economics Discussion Series 2007-26, Board of Governors of the Federal Reserve System (U.S.).
  6. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
  7. Evans, M.D.D. & Lewis, K.K., 1993. "Trends in Expected Returns in Currency and Bond Markets," Weiss Center Working Papers 93-4, Wharton School - Weiss Center for International Financial Research.
  8. H.a. Mitchell-innes & M.j. Aziakpono & A.p. Faure, 2007. "Inflation Targeting And The Fisher Effect In South Africa: An Empirical Investigation," South African Journal of Economics, Economic Society of South Africa, vol. 75(4), pages 693-707, December.
  9. Lawrence G. Goldberg & James R. Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," International Finance 0311004, EconWPA.
  10. Robert G. King & Mark W. Watson, 1997. "Testing long-run neutrality," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 69-101.
  11. Shaghil Ahmed & John H. Rogers, 1998. "Inflation and the great ratios: long-term evidence from the U.S," International Finance Discussion Papers 628, Board of Governors of the Federal Reserve System (U.S.).
  12. Andrew Ang & Sen Dong & Monika Piazzesi, 2007. "No-Arbitrage Taylor Rules," NBER Working Papers 13448, National Bureau of Economic Research, Inc.
  13. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Working Papers 13134, National Bureau of Economic Research, Inc.
  14. Tzavalis, E. & Wickens, M.R., 1995. "Forecasting Inflation from the Term Structure," Discussion Papers 9519, Exeter University, Department of Economics.
  15. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section.
  16. Lai, Kon S., 2004. "On structural shifts and stationarity of the ex ante real interest rate," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 217-228.
  17. Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168.
  18. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  19. David Barr & Bahram Pesaran, 1995. "An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds," Bank of England working papers 32, Bank of England.
  20. Abdul Karim, Zulkefly & Md. Said, Fathin Faezah & Jusoh, Mansor & Md. Thahir, Md. Zyadi, 2009. "Monetary policy and inflation targeting in a small open-economy," MPRA Paper 23949, University Library of Munich, Germany, revised 10 Jan 2010.
  21. Antonio Ribba, 2009. "On Some Neglected Implications of the Fisher Effect," Center for Economic Research (RECent) 033, University of Modena and Reggio E., Dept. of Economics.
  22. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
  23. Karl-Heinz Todter & Gerhard Ziebarth, 1997. "Price Stability vs. Low Inflation in Germany: An Analysis of Costs and Benefits," NBER Working Papers 6170, National Bureau of Economic Research, Inc.
  24. Garratt, A. & Lee, K. & Pesaran, M. H. & Shin, Y., 1998. "A Long-run Structural Macro-econometric Model of the UK," Cambridge Working Papers in Economics 9812, Faculty of Economics, University of Cambridge.
  25. Granville, Brigitte & Mallick, Sushanta, 2006. "Does inflation or currency depreciation drive monetary policy in Russia?," Research in International Business and Finance, Elsevier, vol. 20(2), pages 163-179, June.
  26. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 609-642.
  27. James R. Lothian & Cornelia H. McCarthy, 2003. "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance 0311007, EconWPA.
  28. Ian Davidson & John Okunev & M. Tahir, 1996. "Modelling the Equity Risk Premium in the Long Term," Working Paper Series 59, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  29. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  30. Alberto Herrou-Aragón, 2003. "La Regla de Taylor para la Tasa de Interés," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(121), pages 690-697.
  31. Balz, Christoph, 1998. "Testing the stationarity of interest rates using a SUR approach," Economics Letters, Elsevier, vol. 60(2), pages 147-150, August.
  32. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  33. Westerlund, Joakim, 2006. "Panel Cointegration Tests of the Fisher Effect," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  34. Söderlind, Paul & Svensson, Lars E O, 1997. "New Techniques to Extract Market Expectations from Financial Instruments," CEPR Discussion Papers 1556, C.E.P.R. Discussion Papers.
  35. Joseph E. Gagnon, 1997. "Inflation regimes and inflation expectations," International Finance Discussion Papers 581, Board of Governors of the Federal Reserve System (U.S.).
  36. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "A vector error-correction forecasting model of the US economy," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 569-598, December.
  37. Mihir A. Desai & James R. Hines Jr., 1997. "Excess Capital Flows and the Burden of Inflation in Open Economies," NBER Working Papers 6064, National Bureau of Economic Research, Inc.
  38. Malliaropulos, Dimitrios, 2000. "A note on nonstationarity, structural breaks, and the Fisher effect," Journal of Banking & Finance, Elsevier, vol. 24(5), pages 695-707, May.
  39. Kris James Mitchener & Marc D. Weidenmier, 2010. "Searching for Irving Fisher," NBER Working Papers 15670, National Bureau of Economic Research, Inc.
  40. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
  41. Helmut Herwartz & Hans-Eggert Reimers, 2006. "Panel non stationary tests of the Fisher hypothesis in a world wide context. An analysis of 114 economies during the period 1960-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(3).
  42. Paradiso, Antonio & Casadio, Paolo & Rao, B. Bhaskara, 2012. "US inflation and consumption: A long-term perspective with a level shift," Economic Modelling, Elsevier, vol. 29(5), pages 1837-1849.
  43. von Thadden, Leopold, 2012. "Monetary policy rules in an OLG model with non-superneutral money," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 147-166.
  44. Chu, Angus C. & Cozzi, Guido & Furukawa, Yuichi, 2013. "Inflation, Unemployment and Economic Growth in a Schumpeterian Economy," Economics Working Paper Series 1323, University of St. Gallen, School of Economics and Political Science.
  45. Coppock, Lee & Poitras, Marc, 2000. "Evaluating the Fisher effect in long-term cross-country averages," International Review of Economics & Finance, Elsevier, vol. 9(2), pages 181-192.
  46. Pelaez, Rolando F., 1995. "The Fisher effect: Reprise," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 333-346.
  47. Chu, Quentin C. & Pittman, Deborah N. & Yu, Linda Q., 2003. "Real rates, nominal rates, and the Fisherian link," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 189-205.
  48. Jeremy Couchman & Rukmani Gounder & Jen-Je Su, 2006. "Long memory properties of real interest rates for 16 countries," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 25-30, January.
  49. Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
  50. Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," Working Paper Series in Economics and Finance 159, Stockholm School of Economics, revised 04 Mar 1999.
  51. Centeno, Mario & Mello, Antonio S., 1999. "How integrated are the money market and the bank loans market within the European Union?," Journal of International Money and Finance, Elsevier, vol. 18(1), pages 75-106, January.
  52. Brand, Claus & Cassola, Nuno, 2000. "A money demand system for euro area M3," Working Paper Series 0039, European Central Bank.
  53. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  54. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.).
  55. Chan Huh, 1995. "Regime switching in the dynamic relationship between the federal funds rate and nonborrowed reserves," Working Papers in Applied Economic Theory 95-11, Federal Reserve Bank of San Francisco.
  56. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, EconWPA.
  57. Fahmy, Yasser A. F. & Kandil, Magda, 2003. "The Fisher effect: new evidence and implications," International Review of Economics & Finance, Elsevier, vol. 12(4), pages 451-465.
  58. Jordi Gali, 1996. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations," NBER Working Papers 5721, National Bureau of Economic Research, Inc.
  59. Lee, King Fuei, 2007. "An Empirical Study of the Fisher Effect and the Dynamic Relation Between Nominal Interest Rate and Inflation in Singapore," MPRA Paper 12383, University Library of Munich, Germany.
  60. Darrel Cohen & Kevin A. Hassett & R. Glenn Hubbard, 1997. "Inflation and the User Cost of Capital: Does Inflation Still Matter?," NBER Working Papers 6046, National Bureau of Economic Research, Inc.
  61. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund.
  62. Telatar, Erdinc & Telatar, Funda & Ratti, Ronald A., 2003. "On the predictive power of the term structure of interest rates for future inflation changes in the presence of political instability: the Turkish economy," Journal of Policy Modeling, Elsevier, vol. 25(9), pages 931-946, December.
  63. Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
  64. Ricardo Reis & Mark W. Watson, 2010. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 128-57, July.
  65. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Interest Rates, Banking Spreads and Credit Supply: The Real Effects," Working Papers 1995-01, CEPII research center.
  66. Zisimos Koustas & Jean-Francois Lamarche, 2006. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0601, Brock University, Department of Economics.
  67. Fletcher, Donna J. & Gulley, O. David, 1996. "Forecasting the real interest rate," The North American Journal of Economics and Finance, Elsevier, vol. 7(1), pages 55-76.
  68. Lee, Hsiu-Yun & Wu, Jyh-Lin, 2001. "Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 477-487, July.
  69. Frederic S. Mishkin & John Simon, 1995. "An Empirical Examination of the Fisher Effect in Australia," NBER Working Papers 5080, National Bureau of Economic Research, Inc.
  70. Seppala, Juha, 2004. "The term structure of real interest rates: theory and evidence from UK index-linked bonds," Journal of Monetary Economics, Elsevier, vol. 51(7), pages 1509-1549, October.
  71. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  72. Gil-Alana, Luis A., 2004. "Long memory in the U.S. interest rate," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 265-276.
  73. Baffes, John & Gohou, Gaston, 2005. "The co-movement between cotton and polyester prices," Policy Research Working Paper Series 3534, The World Bank.
  74. Sharon Kozicki & P.A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
  75. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
  76. Burcu Kiran, 2013. "A fractional cointegration analysis of Fisher hypothesis: evidence from Turkey," Quality & Quantity: International Journal of Methodology, Springer, vol. 47(2), pages 1077-1084, February.
  77. Bidarkota, Prasad V., 1998. "The comparative forecast performance of univariate and multivariate models: an application to real interest rate forecasting," International Journal of Forecasting, Elsevier, vol. 14(4), pages 457-468, December.
  78. Fujihara, Roger A. & Mougoue, Mbodja, 1996. "International linkages between short-term real interest rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(4), pages 451-473.
  79. James Lothian & Yusif Simaan, 1998. "International Financial Relations Under the Current Float: Evidence from Panel Data," Open Economies Review, Springer, vol. 9(4), pages 293-313, October.
  80. Joseph E. Gagnon & Mark D. Unferth, 1993. "Is there a world real interest rate?," International Finance Discussion Papers 454, Board of Governors of the Federal Reserve System (U.S.).
  81. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  82. Alexeev, Vitali & Maynard, Alex, 2012. "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3322-3344.
  83. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  84. Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003. "Testing the Fisher Effect in the Presence of Structural Change: A Case Study of the UK,1961-2001," Economic Working Papers at Centro de Estudios Andaluces E2003_22, Centro de Estudios Andaluces.
  85. Sekioua, Sofiane H., 2008. "Real interest parity (RIP) over the 20th century: New evidence based on confidence intervals for the largest root and the half-life," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 76-101, February.
  86. Booth, G. Geoffrey & Ciner, Cetin, 2001. "The relationship between nominal interest rates and inflation: international evidence," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 269-280, July.
  87. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section.
  88. Hakan Berument & Hasan Olgun & Baþak Ceylan, 2006. "Inflation Uncertainty and Interest Rates : Is The Fisher Relation Universal?," Departmental Working Papers 0607, Bilkent University, Department of Economics.
  89. Baharumshah, Ahmad Zubaidi & Soon, Siew-Voon & Hamzah, Nor Aishah, 2013. "Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model," Economic Modelling, Elsevier, vol. 35(C), pages 634-642.
  90. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  91. repec:ebl:ecbull:v:3:y:2003:i:14:p:1-10 is not listed on IDEAS
  92. Goldberg, Lawrence G. & Gosnell, Thomas F. & Okunev, John, 1997. "Purchasing power parity: Modeling and testing mean reversion," Journal of Banking & Finance, Elsevier, vol. 21(7), pages 949-966, July.
  93. Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
  94. José R Sánchez-Fung, 2000. "Money Demand, PPP and Macroeconomic Dynamics in a Small Developing Economy," Studies in Economics 0015, Department of Economics, University of Kent.
  95. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
  96. Saadet Kirbas Kasman & Adnan Kasman & Evrim Turgutlu, 2005. "Fisher Hypothesis Revisited: A Fractional Cointegration Analysis," Discussion Paper Series 05/04, Dokuz Eylül University, Faculty of Business, Department of Economics, revised 23 Nov 2005.
  97. Radó, Márk, 2003. "Infláció, tőkeköltség és a magyar tulajdonosok versenyhátránya
    [Inflation, capital costs and the competitive disadvantage of Hungarian owners]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 964-987.