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Inflationary Expectations and the Fisher Effect prior to World War I

Stephen Perez () and Mark Siegler ()

Journal of Money, Credit and Banking, 2003, vol. 35, issue 6, 947-65

Abstract: 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.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:35:y:2003:i:6:p:947-65

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Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

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