Does the Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis
基于费雪假说，利用13个OECD国家1962-93年的数据，检验长期利率与短期通胀率之差是否预示未来通胀变化，对宏观经济学和货币经济学研究者有参考价值。
According to the Fisher hypothesis, an increase (decrease) in the spread between the long-term, or multiperiod, interest rate and the one-period inflation rate signals an increase (decrease) in future one-period inflation. This implication is tested on data from thirteen OECD countries for the period 1962-93. Integration and cointegration techniques are applied to examine the time-series properties of interest rates and inflation rates, and the VAR methodology developed by John Y. Campbell and Robert J. Shiller (1987) is applied to examine the predictive power of the spread as well as in testing the Fisher hypothesis under rational expectations and constant ex ante real rates. Copyright 1995 by MIT Press.