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Inflationary Expectations and the Fisher Effect Prior to World War I
- Journal of Money, Credit, and Banking
- The Ohio State University Press
- Volume 35, Number 6 (Part 1), December 2003
- pp. 947-965
- 10.1353/mcb.2003.0047
- Article
- Additional Information
We use univariate and multivariate techniques to estimate the expected price level changes for the U.S. during the pre-World War I period. We also examine contemporaneous evidence from agricultural commodity futures markets to measure inflationary expectations. Using previously neglected data on consumer prices and a variety of techniques, we draw three main conclusions not traditionally found for this period: (1) price level changes were not white noise, (2) a significant portion of deflationary and inflationary episodes was indeed expected, and (3) expected inflation is positively and significantly correlated with nominal interest rates, thus providing support for a short-run Fisher effect.