Title: International interest rates and inflationary expectations
Abstract: Fama's hypothesis that short term interest rates are efficient predictors of inflation has been criticized on the grounds that his test depends critically on the constancy of the short term expected real rate of interest. This paper uses an international framework where the time invariance assumption of the real rate is replaced by the assumption that short term expected real rates are identical, at a point in time, across countries with well developed capital markets. Results support Fama's contention that short term nominal rates of interest reflect inflationary expectations.
Publication Year: 1982
Publication Date: 1982-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 8
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