Evidence of the Fisher Effect From U.K. Indexed Bonds
利用英国指数化证券市场的新数据检验费雪假说，发现长期利率中预期通胀系数接近1，短期存在蒙代尔-托宾效应，并否定了反向费雪效应。
Newly available data from the U.K. market for indexed securities are used to test the Fisher hypothesis. For monthly observations of interest rates at 14 maturities, the hypothesis that the after-tax nominal interest rate is a constant plus anticipated inflation proves to be a reasonable approximation of reality. For longer maturities, the coefficients on the expected rate of inflation are approximately equal to one. The Mundell- Tobin effect is in evidence for shorter maturities. The inverted Fisher effect is in evidence for shorter maturities. The inverted Fisher effect is decisively rejected. The evidence suggests that past difficulties encountered in trying to prove the Fisher effect have been due to the lack of a direct measure of inflation expectations and real interest rates. Copyright 1992 by MIT Press.