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

by Frederic S. Mishkin

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  1. Chu, Angus C. & Cozzi, Guido & Lai, Ching-Chong & Liao, Chih-Hsing, 2015. "Inflation, R&D and growth in an open economy," Journal of International Economics, Elsevier, vol. 96(2), pages 360-374.
  2. 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.
  3. 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.
  4. 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.
  5. repec:ebl:ecbull:v:3:y:2003:i:14:p:1-10 is not listed on IDEAS
  6. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  7. A Garratt & K Lee & M Pesaran & Yongcheol Shin, 2004. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
  8. Lawrence G. Goldberg & James R. Lothian & John Okunev, 2003. "Has International Financial Integration Increased?," International Finance 0311004, EconWPA.
  9. Mishkin, Frederic S & Simon, John, 1995. "An Empirical Examination of the Fisher Effect in Australia," The Economic Record, The Economic Society of Australia, vol. 71(214), pages 217-29, September.
  10. Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, EconWPA.
  11. Sadaf Zafar & Attiya Yasmin Javid, 2015. "Evaluation of Gold Investment as an Inflationary Hedge in Case of Pakistan," PIDE-Working Papers 2015:118, Pakistan Institute of Development Economics.
  12. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  13. Fernando Barran & Virginie Coudert & Benoît Mojon, 1995. "Interest Rates, Banking Spreads and Credit Supply: The Real Effects," Working Papers 1995-01, CEPII research center.
  14. E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics, Finance and Accounting Department Working Paper Series n1500205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  15. 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.
  16. Söderlind, Paul, 1997. "Monetary Policy and the Fisher Effect," SSE/EFI Working Paper Series in Economics and Finance 159, Stockholm School of Economics, revised 04 Mar 1999.
  17. 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.
  18. Coleman, Simeon & Sirichand, Kavita, 2012. "Fractional integration and the volatility of UK interest rates," Economics Letters, Elsevier, vol. 116(3), pages 381-384.
  19. 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.
  20. Robert King & Mark W. Watson, 1992. "Testing Long Run Neutrality," NBER Working Papers 4156, National Bureau of Economic Research, Inc.
  21. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc.
  22. 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.
  23. Soderlind, Paul & Svensson, Lars, 1997. "New techniques to extract market expectations from financial instruments," Journal of Monetary Economics, Elsevier, vol. 40(2), pages 383-429, October.
  24. Richard G. Anderson & Dennis L. Hoffman & Robert H. Rasche, 2001. "A vector error correction forecasting model of the U.S. economy," Working Papers 1998-008, Federal Reserve Bank of St. Louis.
  25. Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
  26. 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.
  27. Wu, Yangru & Zhang, Hua, 1996. "Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 604-21, November.
  28. 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.
  29. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  30. 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.
  31. Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
  32. 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.
  33. 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.).
  34. 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.
  35. 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.
  36. Tzavalis, Elias & Wickens, M. R., 1996. "Forecasting inflation from the term structure," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 103-122, May.
  37. José R Sánchez-Fung, 2000. "Money Demand, PPP and Macroeconomic Dynamics in a Small Developing Economy," Studies in Economics 0015, School of Economics, University of Kent.
  38. Darrel Cohen & Kevin Hassett & R. Glenn Hubbard, 1999. "Inflation and the User Cost of Capital: Does Inflation Still Matter?," NBER Chapters, in: The Costs and Benefits of Price Stability, pages 199-234 National Bureau of Economic Research, Inc.
  39. 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.
  40. Jens Weidmann, 1997. "New Hope for the Fisher Effect? A Re-Examination Using Threshold Cointegration," Macroeconomics 9705005, EconWPA.
  41. Zisimos Koustas & Jean-Francois Lamarche, 2005. "Policy-Induced Mean Reversion in the Real Interest Rate?," Working Papers 0503, Brock University, Department of Economics, revised Jul 2005.
  42. 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.
  43. 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.
  44. King Fuei Lee, 2009. "An Empirical Study Of The Fisher Effect And The Dynamic Relation Between Nominal Interest Rate And Inflation In Singapore," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 54(01), pages 75-88.
  45. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
  46. Ricardo Reis & Mark W. Watson, 2007. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," NBER Working Papers 13615, National Bureau of Economic Research, Inc.
  47. Gali, J., 1996. "Technology, Employment, and the Business Cycle: Do Technology Shocks Explain Aggregate Fluctuations?," Working Papers 96-28, C.V. Starr Center for Applied Economics, New York University.
  48. 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.
  49. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
  50. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer, vol. 27(1), pages 85-101, March.
  51. Gagnon, Joseph E & Unferth, Mark D, 1995. "Is there a world real interest rate?," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 845-855, December.
  52. 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.
  53. Joseph E. Gagnon, 2008. "Inflation regimes and inflation expectations," Review, Federal Reserve Bank of St. Louis, issue May, pages 229-243.
  54. 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).
  55. 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.
  56. 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.).
  57. 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).
  58. 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.
  59. 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.
  60. 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.
  61. Brand, Claus & Cassola, Nuno, 2000. "A money demand system for euro area M3," Working Paper Series 0039, European Central Bank.
  62. 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.
  63. O Bajo-Rubio & C Diaz-Roldan & V Esteve, 2010. "Testing the Fisher effect in the presence of structural change: A case study of the UK, 1966-2007," Economic Issues Journal Articles, Economic Issues, vol. 15(2), pages 1-16, September.
  64. 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.
  65. 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.
  66. 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.
  67. Antonio Ribba, 2011. "On some neglected implications of the Fisher effect," Empirical Economics, Springer, vol. 40(2), pages 451-470, April.
  68. Baffes, John & Gohou, Gaston, 2005. "The co-movement between cotton and polyester prices," Policy Research Working Paper Series 3534, The World Bank.
  69. Hakan Berument & Hasan Olgun & Basak Ceylan, 2006. "Inflation Uncertainty and Interest Rates : Is The Fisher Relation Universal?," Working Papers 0607, Department of Economics, Bilkent University.
  70. James R. Lothian & Cornelia H.. McCarthy, 2001. "Equity Returns and Inflation: The Puzzlingly Long Lags," International Finance 0107003, EconWPA.
  71. Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
  72. 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.
  73. 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.
  74. 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.
  75. Mihir A. Desai & James R. Hines, Jr., 1999. "Excess Capital Flows and the Burden of Inflation in Open Economies," NBER Chapters, in: The Costs and Benefits of Price Stability, pages 235-272 National Bureau of Economic Research, Inc.
  76. 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.
  77. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund.
  78. Scheffel, Eric, 2008. "Consumption Velocity in a Cash Costly-Credit Model," Cardiff Economics Working Papers E2008/31, Cardiff University, Cardiff Business School, Economics Section.
  79. Basma Bekdache & Christopher F. Baum, 1999. "A re-evaluation of empirical tests of the Fisher hypothesis," Computing in Economics and Finance 1999 944, Society for Computational Economics, revised 18 Sep 2000.
  80. 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.
  81. Ian Davidson & John Okunev & Mohammad 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.
  82. Wu, Jhy-Lin & Chen, Show-Lin, 2001. " Mean Reversion of Interest Rates in the Eurocurrency Market," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 63(4), pages 459-73, September.
  83. 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.).
  84. 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.
  85. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Working Papers 2008-018, Federal Reserve Bank of St. Louis.
  86. 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.
  87. 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.
  88. 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.
  89. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland.
  90. 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.
  91. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  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. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
  94. Pelaez, Rolando F., 1995. "The Fisher effect: Reprise," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 333-346.
  95. Vitali Alexeev & Alex Maynard, 2010. "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers 1001, University of Guelph, Department of Economics and Finance.
  96. 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.
  97. Kris James Mitchener & Marc D. Weidenmier, 2010. "Searching for Irving Fisher," NBER Working Papers 15670, National Bureau of Economic Research, Inc.
  98. 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.
  99. 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.).
  100. Balz, Christoph, 1998. "Testing the stationarity of interest rates using a SUR approach," Economics Letters, Elsevier, vol. 60(2), pages 147-150, August.
  101. Sharon Kozicki & Peter A. Tinsley, . "Moving Endpoints in Macrofinance," Computing in Economics and Finance 1996 _058, Society for Computational Economics.
  102. 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.
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