Real and Nominal Interest Rates under Uncertainty
The Fisher Theorem and the Term Structure
Bibliographic Data
| ID | 10183582 |
|---|---|
| Authors | Simon Benninga, Aris Protopapadakis |
| Year | 1983 |
| Volume | 91 |
| Issue | 5 |
| Pages | 856-867 |
| Publication date | 1983-10-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Political Economy (JOURNAL) |
| Journal identifiers | ISSN: 0022-3808 • E-ISSN: 1537-534X |
| Publisher | University of Chicago Press (PUBLISHER • US) |
| DOI | 10.1086/261185 |
| OpenAlex | W1993326742 |
| Language | EN |
| Citations received | 2 |
| References cited | 3 |
This paper examines the relation between nominal and real interest rates, and the nominal and real term structure under uncertainty. We show that two separate risk terms cause the Fisher theorem to fail. One risk term is related only to the variability of money prices, while the other is related to the purchasing power riskiness of the nominal bond. Monetary policy can affect the value of both these risk terms. We also show that the pure expectations hypothesis of the term structure fails for both real and nominal bonds because of risk premia. Even if the economy is neutral with respect to monetary policy, monetary policy can alter the nominal term structure
Bond · Econometrics · Economics · Fisher hypothesis · Interest rate · Macroeconomics · Monetary economics · Monetary policy · Nominal interest rate · Purchasing power · Real interest rate · Term (time · Yield curve · Capital Investment and Risk Analysis · Economic theories and models · Finance · Monetary Policy and Economic Impact
| Unique citing works | 2 |
|---|---|
| Citations per year | 0.1 |
| Citation span | 2006 - 2024 (19) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 2 |