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