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Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis

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Cited by:

  1. Gong, Fangxiong & Remolona, Eli M, 1997. "Two Factors along the Yield Curve," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(0), pages 1-31, Supplemen.
  2. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
  3. Diego Romero‐Ávila, 2007. "Unit roots and persistence in the nominal interest rate: a confirmatory analysis applied to the OECD," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(3), pages 980-1007, August.
  4. Claus Brand & Nuno Cassola, 2004. "A money demand system for euro area M3," Applied Economics, Taylor & Francis Journals, vol. 36(8), pages 817-838.
  5. 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.
  6. Mirdala, Rajmund, 2009. "Vplyv inflačných očakávaní na vývoj úrokových sadzieb v krajinách Višegrádskej štvorky [Inflation expectations and interest rates development in the Visegrad countries]," MPRA Paper 17059, University Library of Munich, Germany.
  7. Yu Hsing, 1997. "The Fisher hypothesis revisited: new evidence," Applied Economics, Taylor & Francis Journals, vol. 29(8), pages 1055-1059.
  8. Uddin, Gazi Salah & Alam, Md. Mahmudul & Alam, Kazi Ashraful, 2019. "An Empirical Evidence of Fisher Effect in Bangladesh: A Time-Series Approach," SocArXiv udpwj, Center for Open Science.
  9. 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.
  10. Yash P. Mehra, 1997. "The bond rate and actual future inflation," Working Paper 97-03, Federal Reserve Bank of Richmond.
  11. Haug Alfred A & Beyer Andreas & Dewald William, 2011. "Structural Breaks and the Fisher Effect," The B.E. Journal of Macroeconomics, De Gruyter, vol. 11(1), pages 1-31, May.
  12. Peresetsky, Anatoly & Ivanter, Alexander, 2000. "Interaction of the Russian Financial Markets," Economic Change and Restructuring, Springer, vol. 33(1-2), pages 103-140.
  13. repec:bla:jecsur:v:16:y:2002:i:3:p:301-55 is not listed on IDEAS
  14. Ron Lange, 1999. "The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada," Staff Working Papers 99-20, Bank of Canada.
  15. Rajmund MIRDALA, 2015. "Decomposing Euro Area Sovereign Debt Yields into Inflation Expectations and Expected Real Interest Rates," Journal of Advanced Research in Law and Economics, ASERS Publishing, vol. 6(4), pages 714-737.
  16. Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, vol. 86(Q III), pages 5-42.
  17. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July.
  18. Hüseyin Şen & Ayşe Kaya & Savaş Kaptan & Metehan Cömert, 2019. "Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships," Working Papers halshs-02095652, HAL.
  19. Beyer, Andreas & Dewald, William G. & Haug, Alfred A., 2009. "Structural breaks, cointegration and the Fisher effect," Working Paper Series 1013, European Central Bank.
  20. Dong-Hyeon Kim & Shu-Chin Lin & Joyce Hsieh & Yu-Bo Suen, 2018. "The Fisher Equation: A Nonlinear Panel Data Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(1), pages 162-180, January.
  21. Guglielmo Maria Caporale & Luis Gil-Alaña, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, CEPII research center, issue 159, pages 140-150.
  22. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April.
  23. Joakim Westerlund, 2008. "Panel cointegration tests of the Fisher effect," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 193-233.
  24. Katsuhiro Sugita, 2017. "Non-Linear Analysis of the Fisher Effect: In the Case of Japan," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 1-9, November.
  25. S, Surayya, 2018. "Alternative Specifications of Fisher Hypothesis: An Empirical Investigation," MPRA Paper 90320, University Library of Munich, Germany.
  26. 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.
  27. NANDWA, Boaz, 2006. "On The Fisher Effect And Inflation Dynamics In Low-Income Countries: An Assessment Of Sub-Saharan Africa Economies," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(1).
  28. Salah Nusair, 2008. "Testing for the Fisher hypothesis under regime shifts: an application to Asian countries," International Economic Journal, Taylor & Francis Journals, vol. 22(2), pages 273-284.
  29. Mirdala, Rajmund, 2012. "Interest Rates Determination and Crisis Puzzle (Empirical Evidence from the European Transition Economies)," MPRA Paper 43756, University Library of Munich, Germany.
  30. James Payne & Bradley Ewing, 1997. "Evidence from lesser developed countries on the Fisher hypothesis: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(11), pages 683-687.
  31. 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.
  32. Faria, Joao Ricardo & Mollick, Andre Varella, 2004. "The nominal theory of interest under habit formation: evidence for the U.S., 1959-2002," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 333-354, December.
  33. Yash P. Mehra, 1998. "The bond rate and actual future inflation," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 27-47.
  34. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July.
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