Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?
IMF Working Papers, October 1, 1997
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- Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates?
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Bibliographic details
- Authors: M. F. Bleaney
- Published: October 1, 1997
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451855241.001
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.
Assessment and Scope
- Geographic coverage:
- Australia
- Canada
- Germany
- United Kingdom
- United States
- Central research question:
- Whether switching between different inflationary regimes can explain fluctuations in real interest rates.
- Relationship considered:
- The Fisher relationship between interest rates and inflation.
Subject Areas and Keywords
- Subject: Financial services, Inflation, Long term interest rates, Prices, Real interest rates, Short term interest rates, Yield curve
- Keywords: debt ratio, dependent variable, high-inflation regime, Inflation, inflation rate, interest rate, interest rate data, interest rates, Long term interest rates, long-term interest rates, LR statistic, nominal interest rate, real interest rate, Real interest rates, running mean inflation, Short term interest rates, test statistics, white-noise process, WP, Yield curve, yield gap
Content in this bundle
- Can Switching Between Inflationary Regimes Explain Fluctuations in Real Interest Rates? - WP/97/131