The Fisher Effect

David Brhel

ISBN 10: 3843376654 / ISBN 13: 9783843376655

Editore: LAP LAMBERT Academic Publishing Mai 2011, 2011

Riguardo questo articolo

Neuware -The Fisher effect, one of the oldest paradigms of Financial Economics, has been scrutinized for decades. Behind the large body of academic literature lies the intuitive idea that nominal interest rates should adjust to changed expectations of inflation, leaving the real rate unaffected. Despite the amount of attention the theory has received, the empirical evidence is not nearly conclusive. This book lends considerable weight in support of the Fisher Effect, by modeling the equation under realistic conditions, and relaxing some of the assumptions commonly present in the empirical literature. The assumption of Rational Expectations is circumvented through use of new survey data on inflation from the Consensus Forecast. The model also allows for active monetary policy, using four different monetary regimes: the US, Euro Area, Switzerland, and Sweden. The evidence suggests that interest rates fully adjust to changes in the expected level of inflation, and debt markets act rationally when forming expectations of inflation. This book may be of particular use to monetary or financial economists, and in financial and academic institutions.Books on Demand GmbH, Überseering 33, 22297 Hamburg 92 pp. Englisch. Codice articolo 9783843376655

Dati bibliografici

Titolo: The Fisher Effect

Casa editrice: LAP LAMBERT Academic Publishing Mai 2011

Data di pubblicazione: 2011

Legatura: Taschenbuch

Condizione: Neu

Descrizione articolo

Riassunto:

The Fisher effect, one of the oldest paradigms of Financial Economics, has been scrutinized for decades. Behind the large body of academic literature lies the intuitive idea that nominal interest rates should adjust to changed expectations of inflation, leaving the real rate unaffected. Despite the amount of attention the theory has received, the empirical evidence is not nearly conclusive. This book lends considerable weight in support of the Fisher Effect, by modeling the equation under realistic conditions, and relaxing some of the assumptions commonly present in the empirical literature. The assumption of Rational Expectations is circumvented through use of new survey data on inflation from the Consensus Forecast. The model also allows for active monetary policy, using four different monetary regimes: the US, Euro Area, Switzerland, and Sweden. The evidence suggests that interest rates fully adjust to changes in the expected level of inflation, and debt markets act rationally when forming expectations of inflation. This book may be of particular use to monetary or financial economists, and in financial and academic institutions.

L'autore:

David Brhel, MSc: Studied Financial Economics at Erasmus University Rotterdam. Securities Pricing Specialist at APG Asset Management, Netherlands.