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| Tekijä: | Engsted, T. |
| Otsikko: | Does the long-term interest rate predict future inflation? A multi-country analysis |
| Lehti: | Review of Economics and Statistics
1995 : FEB, VOL. 77:1, p. 42-54 |
| Asiasana: | INTEREST RATES FUTURE INFLATION |
| Kieli: | eng |
| Tiivistelmä: | According to the Fisher hypothesis, an increase in the spread between the long-term, or multi-period, interest rate and the one-period inflation rate signals an increase (decrease) in future one-period inflation. This implication is tested on data from 13 OECD countries for the period 1962-1993. Integration and cointegration techniques are applied to examine the time-series properties of interest rates and inflation rates. The VAR methodology is applied. |
SCIMA