Are Expected Inflation Rates and Expected Real Rates Negatively Correlated? A Long‐Run Test of the Mundell‐Tobin Hypothesis

Journal of Financial Research - Tập 25 Số 3 - Trang 305-320 - 2002
Keshab Shrestha1, Sheng‐Syan Chen2, Cheng-Few Lee3
1University of Regina
2Yuan Ze University
3Rutgers University

Tóm tắt

AbstractSome empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell‐Tobin hypothesis. In this article we reinvestigate this negative relation from a long‐term point of view using cointegration analysis. The data on the historical interest rate on T‐bills and the inflation rate indicate that the Mundell‐Tobin hypothesis does not hold in the long run for the United States, the United Kingdom, and Canada. We also obtain similar results using the real interest rate on index‐linked gilt traded in the United Kingdom.

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Thông tin
Thông tin xuất bản

Journal of Financial Research

Tập 25 Số 3

305-320

Thông tin tác giả