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Searching for Irving Fisher

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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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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Status: Not Peer Reviewed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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