The Fisher effect, survey data and time-varying volatility

被引:5
作者
Kaliva, Kasimir [1 ]
机构
[1] Univ Turku, Turku 20014, Finland
关键词
Fisher effect; Livingston survey; disagreement; heteroskedasticity; monetary policy regimes;
D O I
10.1007/s00181-007-0139-0
中图分类号
F [经济];
学科分类号
02 ;
摘要
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.
引用
收藏
页码:1 / 10
页数:10
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