ESTIMATION OF THE FISHER EFFECT ON THE TERM STRUCTURE OF INTEREST RATES EMPLOYING A TERM STRUCTURE OF INFLATIONARY EXPECTATIONS

<p>This study deals with the estimation of the effect of a term structure of inflationary expectations on the term structure of interest rates. By estimating the Fisher effect over the entire term structure, this analysis captures the associational effects between values of the interest rates along a term structure and values of inflationary expectations along a term structure.</p><p>The study contains a discussion of the Fisher hypothesis as it was developed and tested by Irving Fisher. Models of inflationary expectations and previous applications of these to test the Fisher effect are discussed.</p><p>A method of constructing a term structure of inflationary expectations is developed. Inflationary expectations are estimated and proof is offered to demonstrate that these expectations are statistically rational.</p><p>A model for estimating nominal interest rates from yields on Treasury notes and Bank discounts on Treasury bills is developed. The technique is applied to obtain estimates of the term structure of nominal interest rates, monthly, for the period of January 1970 through November 1982.</p><p>In order to summarize the term structures of inflationary expectations and the term structures of nominal interest rates as functions, this study estimates empirical term structures using cubic exponential spline functions. There is a discussion of spline methodology from a modeling perspective and from an econometric perspective.</p><p>The Fisher effect of the term structure of inflationary expectations on the term structure of interest rates is estimated by pooling the cross-section data described by the coefficients of the cubic exponential splines, and the time-series data. The evidence does not reject the Fisher hypothesis of a complete pass-through of inflationary expectations to nominal interest rates in a world of taxes. The evidence also suggests that associational effects along the term structures are present.</p>

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

Dissertation

Year

1986

Author dc:creator

• ISLEY, PHYLLIS WELLS

• Economics
• Finance

Repository record dc:identifier

https://scholars.unh.edu/dissertation/1495

OAI identifier oai:identifier

oai:scholars.unh.edu:dissertation-2494