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The Fisher effect, survey data and time-varying volatility

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  • Kasimir Kaliva

Abstract

In this paper we study the Fisher hypothesis using Livingston survey data on inflation expectations. We propose a simple model for the ex-ante real interest rate where the standard deviation of survey forecasts is used to correct for heteroskedasticity. The findings of this paper contradict earlier studies. We find supportive evidence for the Fisher hypothesis that the nominal interest rate and expected inflation move one-for-one both in the short and the long run. Our results also suggest that the change of US monetary policy does not have significant effect on the dynamics of the ex-ante real interest rate such as previous work assumes. Copyright Springer-Verlag 2008

Suggested Citation

  • Kasimir Kaliva, 2008. "The Fisher effect, survey data and time-varying volatility," Empirical Economics, Springer, vol. 35(1), pages 1-10, August.
    • Handle: RePEc:spr:empeco:v:35:y:2008:i:1:p:1-10
    DOI: 10.1007/s00181-007-0139-0
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    References listed on IDEAS

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    Cited by:

    1. Herwartz, Helmut & Siedenburg, Florian, 2009. "The effects of variance breaks on homogenous panel unit root tests," Economics Working Papers 2009-07, Christian-Albrechts-University of Kiel, Department of Economics.
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    3. Hamid Baghestani, 2016. "Interest rate movements and US consumers’ inflation forecast errors: is there a link?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(3), pages 623-630, July.
    4. Fan, Ailong & Wang, Junteng & He, Yapeng & Perčić, Maja & Vladimir, Nikola & Yang, Liu, 2021. "Decarbonising inland ship power system: Alternative solution and assessment method," Energy, Elsevier, vol. 226(C).

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