Inflationary Expectations and the Fisher Effect Prior to World War I
用单变量和多变量方法估计美国战前预期价格变化，并用农产品期货市场数据衡量通胀预期，发现价格变化非白噪声、通缩和通胀部分可预期、预期通胀与名义利率正相关，支持短期费雪效应。
We use univariate and multivariate techniques to estimate the expected price level changes for the U.S. during the pre-World War I period. We also examine contemporaneous evidence from agricultural commodity futures markets to measure inflationary expectations. Using previously neglected data on consumer prices and a variety of techniques, we draw three main conclusions not traditionally found for this period: (1) price level changes were not white noise, (2) a significant portion of deflationary and inflationary episodes was indeed expected, and (3) expected inflation is positively and significantly correlated with nominal interest rates, thus providing support for a short-run Fisher effect.