Real Interest Rates and Inflation: An Ex‐Ante Empirical Analysis
利用指数债券和名义债券价格测算事前实际利率，直接检验费雪假说，发现事前实际利率与预期通胀负相关，与费雪假说矛盾，但支持Mundell-Tobin等理论。
ABSTRACT We develop a method of measuring ex‐ante real interest rates using prices of index and nominal bonds. Employing this method and newly available data, we directly test the Fisher hypothesis that the real rate of interest is independent of inflation expectations. We find a negative correlation between ex‐ante real interest rates and expected inflation. This contradicts the Fisher hypothesis but is consistent with the theories of Mundell and Tobin, Darby and Feldstein, and Stulz. We also find that nominal interest rates include an inflation risk premium that is positively related to a proxy for inflation uncertainty.