Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-20T03:38:37.680Z Has data issue: false hasContentIssue false
  • English
  • Français

A Note on Fisher Hypothesis and Price Level Uncertainty

Published online by Cambridge University Press:  19 October 2009

Y. Amihud  and
A. Barnea
Get access Rights & Permissions [Opens in a new window]

Extract

The theory on the relationship between real and nominal interest rates is based on the well-known Fisher equation:

where: i = nominal interest rate;

r = real interest rate;

λ = percentage change in price level: P /P0 - 1 where P and P0 denote end-of-period and current levels of some aggregate price index, respectively.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 3 , September 1977 , pp. 525 - 530
Copyright
Copyright © School of Business Administration, University of Washington 1977

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Fama, E. “Short Term Interest Rates as Predictors of Inflation.” American Economic Review (June 1975), pp. 269–282.Google Scholar
[2]Feldstein, M., and Eckstein, O.. “The Fundamental Determinants of the Interest Rate.” Review of Economics and Statistics (November 1970), pp. 363–374.Google Scholar
[3]Feller, W.An Introduction to Probability Theory and Its Applications.Google Scholar
[4]Fisher, I.The Theory of Interest. New York: Macmillan (1930).Google Scholar
[5]Gibson, W. “Interest Rates and Inflationary Expectations: New Evidence.” American Economic Review (December 1972), pp. 854–863.Google Scholar
[6]Hendershott, P., and Van Home, J.. “Expected Inflation Implied by Capital Market Rates.” Journal of Finance (May 1973), pp. 301–314.Google Scholar
[7]Liviatan, N., and Levhari, D.. “Risk and the Theory of Index Bonds.” Research Report No. 67, Department of Economics, The Hebrew University of Jerusalem (March 1975).Google Scholar
[8]Roll, R. “Interest Rates on Monetary Assets and Commodity Price Index Changes.” Journal of Finance (May 1972), pp. 251–;277.Google Scholar
[9]Yohe, W., and Karnosky, D.. “Interest Rates and Price Level Changes, 1952–1969.” Federal Reserve Bank of St. Louis Review (1969), pp. 18–38.Google Scholar