THE FISHER EFFECT AND THE TERM STRUCTURE OF INTEREST-RATES - TESTS OF COINTEGRATION

被引：48
|
作者：
WALLACE, MS
WARNER, JT
机构：
来源：
REVIEW OF ECONOMICS AND STATISTICS | 1993年 / 75卷 / 02期
关键词：
D O I：
10.2307/2109438
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, we establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the FIsher effect and the expectations theory of the term structure.
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页码：320 / 324
页数：5
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