| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0906
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| 来源ID | Working Paper 0906
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| Inflation Uncertainty and Interest Rates: Theory and Empirical Tests |
| Richard Hartman; John H. Makin
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| 发表日期 | 1982-06-01
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| 出版年 | 1982
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| 语种 | 英语
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| 摘要 | This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation uncertainty affects interest rates. Both models give rise to essentially the same interest rate equation for estimation. Empirical evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral model, the empirical results suggest that inflation uncertainty has a negative impact on nominal interest rates and a positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation uncertainty has a negative impact on nominal interest rates. The expected real rate is not of direct interest in a risk averse world. The results raise real questions about the use of the Fisherian definition of the real interest rate in situations when there is uncertainty about inflation rates. It is argued that even with risk neutrality the Fisherian definition of the real rate is not the appropriate concept upon which to base economic decisions if inflation uncertainty is present. The appropriate concept is an expected real rate which involves an adjustment for uncertainty. Moreover, if the world is risk averse, the expected real rate is not a relevant concept for economic decisions. |
| 主题 | Macroeconomics
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| URL | https://www.nber.org/papers/w0906
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558121
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推荐引用方式
GB/T 7714 |
Richard Hartman,John H. Makin. Inflation Uncertainty and Interest Rates: Theory and Empirical Tests. 1982.
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文件名：
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w0906.pdf
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格式：
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Adobe PDF
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