Can Switching between Inflationary Regimes Explain Fluctuations in Real Interest Rates?

25 Pages Posted: 15 Feb 2006

See all articles by Michael Bleaney

Michael Bleaney

University of Nottingham - School of Economics

Date Written: October 1997

Abstract

It has recently been suggested that allowing for switches between different inflationary regimes produces a much better fit for the Fisher relationship between interest rates and inflation, at least for U.S. data. The paper assesses the merits of the regime-switching theory as an explanation for the apparent fluctuations in real interest rates in Australia, Canada, Germany, the United Kingdom, and the United States.

Keywords: Inflation, interest rates

JEL Classification: E43

Suggested Citation

Bleaney, Michael, Can Switching between Inflationary Regimes Explain Fluctuations in Real Interest Rates? (October 1997). IMF Working Paper No. 97/131, Available at SSRN: https://ssrn.com/abstract=882685

Michael Bleaney (Contact Author)

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