Inflation, Hedging and the Fisher hypothesis
Virén, Matti (03.10.1984)
Numero
18/84Julkaisija
Suomen Pankki
1984
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe2023070373041Tiivistelmä
This paper presents an interest rate equation which makes use of the "inverted Fisher hypothesis 11, as well as paying special attention both to modelling the capital risk and hedging premiums and to the dynamics of interest rate behavior. Empirical evidence from Canada, the U.K. and the U.S.A. gives strong support to the resulting specification.