TY  - JOUR
AU  - Mishkin,Frederic S.
AU  - Simon,John
TI  - An Empirical Examination of the Fisher Effect in Australia
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5080
PY  - 1997
Y2  - July 1997
UR  - http://www.nber.org/papers/w5080
L1  - http://www.nber.org/papers/w5080.pdf
N1  - Author contact info:
Frederic S. Mishkin
Columbia University
Graduate School of Business
Uris Hall 817
3022 Broadway
New York, NY 10027
Tel: 212-854-3488
Fax: 212/662-8474
E-Mail: fsm3@columbia.edu

John Simon
Economic Analysis Department
Reserve Bank of Australia
Sydney, Australia
E-Mail: simonj@rba.gov.au
AB  - This paper analyzes the Fisher effect in Australia.  Initial testing indicates that both interest rates and inflation contain unit roots.  Furthermore, there are indications that the variables have non-standard error processes.  To overcome problems associated with this and derive the correct small sample distributions of test statistics we make use of Monte Carlo simulations.  These tests indicate that while a long-run Fisher effect seems to exist there is no evidence of a short-run Fisher effect.  This suggests that, while short-run changes in interest rates reflect changes in monetary policy, longer-run levels indicate inflationary expectations.  Thus, the longer-run level of interest rates should not be used to characterize the stance of monetary policy.
ER  -