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William G. Dewald

25 February 2009
WORKING PAPER SERIES - No. 1013
Structural breaks, cointegration and the Fisher effect
English
Details
Abstract
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration.
JEL Code
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
9 August 2004
WORKING PAPER SERIES - No. 382
Longer-term effects of monetary growth on real and nominal variables, major industrial countries, 1880-2001
English
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Abstract
Abstract: We study how fluctuations in money growth correlate with fluctuations in real and nominal output growth and inflation. We pick cycles from each time series that last 2 to 8 (business cycles) and 8 to 40 (longer-term cycles) years, using band-pass filters. We employ a data set from 1880 to 2001 for eleven countries, without gaps. Fluctuations in money growth do not play a systematic and important role at the business cycle frequency. However, money growth leads or contemporaneously affects nominal output growth and inflation in the longer run. This result holds despite differences in policies and institutions across countries.
JEL Code
E3 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles
1 September 2003
WORKING PAPER SERIES - No. 253
Bond market inflation expectations and longer-term trends in broad monetary growth and inflation in industrial countries, 1880-2001
English
Details
Abstract
Annual data for thirteen countries revealed three long up trends and down trends in inflation that were matched by growth rates in M2 and nominal GDP but not real GDP in each country and cross-country averages. Inflationary expectations as estimated by bond rates less real growth trends indicated little inflation expectation until the 1960s. Central banks had credibility to keep inflation low even during wartime. It was lost as inflation rose in the 1970s and regained only as inflation fell subsequently. Although relationships with annual data were not as reliable as with ten-year averages, annual inflation was significantly related to annual M2 growth and inflationary expectations which should not be ignored in central bank decision making.
JEL Code
E3 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles
E40 : Macroeconomics and Monetary Economics→Money and Interest Rates→General
E50 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→General
N10 : Economic History→Macroeconomics and Monetary Economics, Industrial Structure, Growth, Fluctuations→General, International, or Comparative