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Mitchener , Kris James and Weidenmier , Marc D. (2013) Searching for Irving Fisher. Working Paper. Coventry, UK: Department of Economics, University of Warwick. CAGE Online Working Paper Series, Volume 2013 (Number 133).
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Text (Working paper)
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
There is a long-standing debate as to whether the Fisher effect operated during the classical gold
standard period. We break new ground on this question by developing a market-based measure of
inflation expectations during the gold standard. We derive a measure of silver-gold inflation
expectations using the interest-rate differential between Austrian silver and gold perpetuity bonds.
Our use of the silver-gold interest rate differential is motivated by the fact that both gold and
silver served as numeraires in the pre-WWI period, so that a change in the price of either precious
metal would impact the prices of all goods and services. The empirical evidence suggests that
silver-gold inflation expectations exhibited significant persistence at the weekly, monthly, and
annual frequencies. Further, we find that there is a one-to-one relationship between silver-gold
inflation expectations and the interest rate on Austrian perpetuity bonds that were denominated in
paper currency. The analysis suggests the operation of a Fisher effect during the classical gold
standard period.
| Item Type: | Working or Discussion Paper (Working Paper) |
|---|---|
| Alternative Title: | |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | Faculty of Social Sciences > Economics |
| Library of Congress Subject Headings (LCSH): | Gold standard , Inflation (Finance) , Inflation (Finance) -- Mathematical models, Fisher, Irving, 1867-1947 |
| Series Name: | CAGE Online Working Paper Series |
| Publisher: | Department of Economics, University of Warwick |
| Place of Publication: | Coventry, UK |
| Official Date: | June 2013 |
| Volume: | Volume 2013 |
| Number: | Number 133 |
| Number of Pages: | 29 |
| Status: | Not Peer Reviewed |
| Publication Status: | Published |
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