Year: 1990
Author: Kirchgässner, Gebhard, Wolters, Jürgen
Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 4 : pp. 468–495
Abstract
Is Real Interest Stationary? Hypothetical Ideas and Empirical Results
This contribution analyses nominal rates of interest and rates of inflation on the one hand and ex-post real rates of interest on the other with a view to establishing whether they are stationary in nature. To this end, three-months domestic and Euromarket rates of interests have been analysed for the United States of America, Switzerland and the Federal Republic of Germany on the basis of the flexible exchange rate data governing the period from 1974. It has turned out that all three quantities were non-stationary in character. Moreover, there was little evidence suggesting co-integration of nominal rates of interest and rates of inflation. All this is hardly compatible with the validity of the Fisher hypothesis. But it must be borne in mind that the assumptions made for inflationary expectations in the theoretical mode have turned out to be highly unsatisfactory compared with actual inflationary developments, i.e. been subject to relatively big (prognosticating) mistakes, and that such mistakes tend to "inflate" also the variability of real rates of interest. "Better" results may only be expected from an "improved" coverage of inflationary expectations.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.23.4.468
Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 4 : pp. 468–495
Published online: 1990-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 28
Author Details
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Google Scholar -
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Google Scholar -
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Google Scholar -
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