Abstract

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.

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Additional Information

ISSN
1538-4616
Print ISSN
0022-2879
Pages
pp. 947-965
Launched on MUSE
2003-11-25
Open Access
No
Archive Status
Archived 2007
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