The Fisher Effect and the Term Structure of Interest Rates: Tests of Cointegration
The Review of Economics and Statistics
1993
The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by MIT Press.
- DOI
- 10.2307/2109438
- Volume
- 75 (2)
- Pages
- 320
- Export
- BibTeX
- Sources
- crossref openalex