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Are Expected Inflation and Expected Real Return Negatively Correlated? A Long-Run Test of the Mundell-Tobin Hypothesis

Keshab ShresthaSheng-Syan ChenCheng-Few Lee

出版	SSRN, 2001
URL	http://books.google.com.hk/books?id=kkDgzwEACAAJ&hl=&source=gbs_api

註釋

Some empirical evidence suggests that the expected real interest and expected inflation rates are negatively correlated. This hypothesis of negative correlation is sometimes known as the Mundell-Tobin hypothesis. In this paper, we reinvestigate this negative relation from a long-term point of view using co integration analysis. The data on the historical interest rate on T-bills and the inflation rate indicate that the Mundell-Tobin hypothesis does not hold in the long run for the United States, the United Kingdom and Canada. We also obtain similar results using the real interest rate on index-linked gilt traded in the United Kingdom.