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Inflationary Expectations and the Fisher Effect prior to World War I

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  • Perez, Stephen J
  • Siegler, Mark V

Abstract

We use univariate and multivariate techniques to estimate the expected price level changes for the U.S. during the pre-World War I period. We also examine contemporaneous evidence from agricultural commodity futures markets to measure inflationary expectations. Using previously neglected data on consumer prices and a variety of techniques, we draw three main conclusions not traditionally found for this period: (1) price level changes were not white noise, (2) a significant portion of deflationary and inflationary episodes was indeed expected, and (3) expected inflation is positively and significantly correlated with nominal interest rates, thus providing support for a short-run Fisher effect.

Suggested Citation

  • Perez, Stephen J & Siegler, Mark V, 2003. "Inflationary Expectations and the Fisher Effect prior to World War I," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 35(6), pages 947-965, December.
    • Handle: RePEc:mcb:jmoncb:v:35:y:2003:i:6:p:947-65
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    Cited by:

    1. Jason Lennard & Finn Meinecke & Solomos Solomou, 2023. "Measuring inflation expectations in interwar Britain," Economic History Review, Economic History Society, vol. 76(3), pages 844-870, August.
    2. Richard C.K. Burdekin & Kris James Mitchener & Marc D. Weidenmier, 2012. "Irving Fisher and Price-Level Targeting in Austria: Was Silver the Answer?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 733-750, June.
    3. Mitchener, Kris James & Weidenmier, Marc D, 2013. "Searching for Irving Fisher," CAGE Online Working Paper Series 133, Competitive Advantage in the Global Economy (CAGE).
    4. Beckworth, David, 2007. "The postbellum deflation and its lessons for today," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 195-214, August.
    5. Binder, Carola Conces, 2016. "Estimation of historical inflation expectations," Explorations in Economic History, Elsevier, vol. 61(C), pages 1-31.
    6. Perez, Stephen J. & Siegler, Mark V., 2006. "Agricultural and monetary shocks before the great depression: A graph-theoretic causal investigation," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 720-736, December.
    7. Basse, Tobias & Wegener, Christoph, 2022. "Inflation expectations: Australian consumer survey data versus the bond market," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 416-430.
    8. Dennis, Benjamin N. & Iscan, Talan B., 2009. "Engel versus Baumol: Accounting for structural change using two centuries of U.S. data," Explorations in Economic History, Elsevier, vol. 46(2), pages 186-202, April.
    9. Benjamin N. Dennis & Talan B. Işcan, 2007. "Accounting for Structural Change: Evidence from Two Centuries of U.S. Data," Working Papers daleconwp2007-04, Dalhousie University, Department of Economics.
    10. Kris James Mitchener & Marc D. Weidenmier, 2010. "Searching for Irving Fisher," NBER Working Papers 15670, National Bureau of Economic Research, Inc.

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