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Relations de Fischer et neutralité de l'inflation

Listed author(s):
  • Jean-Michel Courtault

[fre] Dans cet article nous montrons que certaines relations couramment utilisées en macro-économie monétaire comme la relation de Fisher supposent que les agents économiques sont neutres au risque de richesse nominale On montre aussi que la relation de Fisher permet de rendre compte de la relation entre infla tion et taux intérêt réel qui est observée dans les économies contemporaines Toutefois la relation de Fisher ne peut être associée à l'hypothèse de neutralité de l'inflation [eng] In this paper we show that some of the most commonly used relations in Macroecono­mics such as the Fisher theorem assume implicitly nominal wealth risk neutrality. We also show that the Fisher theorem is compatible with the stylised facts about the rela­tionship between inflation and real interest rate. However the Fisher theorem cannot be associated with the hypothesis of inflation neutrality.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 46 (1995)
Issue (Month): 4 ()
Pages: 1063-1079

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Handle: RePEc:prs:reveco:reco_0035-2764_1995_num_46_4_409722
Note: DOI:10.3406/reco.1995.409722
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References listed on IDEAS
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  1. Hal R. Varian, 1988. "Le principe d'arbitrage en économie financiere," Annals of Economics and Statistics, GENES, issue 10, pages 1-22.
  2. Frenkel, Jacob A. & Razin, Assaf, 1980. "Stochastic prices and tests of efficiency of foreign exchange markets," Economics Letters, Elsevier, vol. 6(2), pages 165-170.
  3. Danthine, Jean-Pierre & Donaldson, John B, 1986. "Inflation and Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 54(3), pages 585-605, May.
  4. Benninga, Simon & Protopapadakis, Aris, 1983. "Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure," Journal of Political Economy, University of Chicago Press, vol. 91(5), pages 856-867, October.
  5. Hansson, Ingemar & Stuart, Charles, 1986. "The Fisher Hypothesis and International Capital Markets," Journal of Political Economy, University of Chicago Press, vol. 94(6), pages 1330-1337, December.
  6. Roll, Richard & Solnik, Bruno, 1979. "On some parity conditions encountered frequently in international economics," Journal of Macroeconomics, Elsevier, vol. 1(3), pages 267-283.
  7. repec:adr:anecst:y:1988:i:10:p:01 is not listed on IDEAS
  8. repec:adr:anecst:y:1988:i:10 is not listed on IDEAS
  9. Hahn, Frank, 1988. "On Monetary Theory," Economic Journal, Royal Economic Society, vol. 98(393), pages 957-973, December.
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