An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect

Nilss Olekalns ()

No 786, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper investigates the relationship between expected inflation and the nominal interest rate using Australia data. Recently developed time series techniques are used that allow for estimation across different regimes where the timing and number of structural breaks are not known a priori. The results are consistent with the existence of significant struc- tural breaks in the relation between interest rates and inflation, with there being some evidence that these are associated with changes in taxation. After allowing for the structural breaks, it appears that interest rates fail to fully reflect anticipated inflation.

Keywords: INFLATION; INTEREST RATE; TIME SERIES (search for similar items in EconPapers)
JEL-codes: E31 E37 G13 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2001
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Citations: View citations in EconPapers (1)

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