Do Expected Shifts in Inflation Affect Estimates of the Long‐Run Fisher Relation?
发现，当通胀过程很少发生变动时，以往研究中名义利率与预期通胀长期非一对一变动的结论可能具有误导性。作者用马尔可夫转换模型刻画通胀变动，重新检验长期关系，结果无法拒绝两者长期一对一变动的假设。
ABSTRACT Recent empirical studies suggest that nominal interest rates and expected inflation do not move together one‐for‐one in the long run, a finding at odds with many theoretical models. This article shows that these results can be deceptive when the process followed by inflation shifts infrequently. We characterize the shifts in inflation by a Markov switching model. Based upon this model's forecasts, we reexamine the long‐run relationship between nominal interest rates and inflation. Interestingly, we are unable to reject the hypothesis that in the long run nominal interest rates reflect expected inflation one‐for‐one.