Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?

Author/Editor:

M. F. Bleaney

Publication Date:

October 1, 1997

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

It has recently been suggested that allowing for switches between different inflationary regimes produces a much better fit for the Fisher relationship between interest rates and inflation, at least for U.S. data. The paper assesses the merits of the regime-switching theory as an explanation for the apparent fluctuations in real interest rates in Australia, Canada, Germany, the United Kingdom, and the United States.

Series:

Working Paper No. 1997/131

Subject:

Financial services Inflation Long term interest rates Prices Real interest rates Short term interest rates Yield curve

English

Publication Date:

October 1, 1997

ISBN/ISSN:

9781451855241/1018-5941

Stock No:

WPIEA1311997

Pages:

25

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