全球智库信息集成服务系统(G2TT): Forecasting Pre-World War I Inflation: The Fisher Effect Revisited

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w2784
来源ID	Working Paper 2784
	Forecasting Pre-World War I Inflation: The Fisher Effect Revisited
	Robert B. Barsky; J. Bradford De Long
发表日期	1988-12-01
出版年	1988
语种	英语
摘要	We consider the puzzling behavior of interest rates and inflation in the United States and the United Kingdom between 1879 and 1913. A deflationary regime prior to 1896 was followed by an inflationary one from 1896 until the beginning of World War I; the average inflation rate was 3.8 percentage points higher in the second period than in the first. Yet nominal interest rates were no higher after 1896 than they had been before. This nonadjustment of nominal interest rates would be consistent with rational expectations if inflation were not forecastable, and indeed univariate tests show little sign of serial correlation in inflation. However, inflation was forecastable on the basis of lagged gold production. Investors' expectations of inflation should have risen by at least three percentage points in the United States between 1890 and 1910. We consider in an information processing context alternative ways of accounting for this failure of interest rates to adjust, for example the possible beliefs that increases in gold production might be transitory. We conclude that the failure of investors to exhibit foresight with regard to the shift in the trend inflation rate after 1896 is not persuasive evidence that investors were negligent or naive in processing information.
主题	Macroeconomics
URL	https://www.nber.org/papers/w2784
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/560050
推荐引用方式 GB/T 7714	Robert B. Barsky,J. Bradford De Long. Forecasting Pre-World War I Inflation: The Fisher Effect Revisited. 1988.

条目包含的文件
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w2784.pdf（578KB）	智库出版物		限制开放	CC BY-NC-SA	浏览