JOURNAL ARTICLE
Cite JOURNAL ARTICLE
Style
Format
Sind die Realzinsen stationär?
Theoretische Überlegungen und empirische Ergebnisse
Kirchgässner, Gebhard | Wolters, Jürgen
Credit and Capital Markets – Kredit und Kapital, Vol. 23 (1990), Iss. 4 : pp. 468–495
Additional Information
Article Details
Author Details
Gebhard Kirchgässner, Osnabrück und Zürich
Jürgen Wolters, Berlin
References
-
A. Banerjee / J. J. Dolado / D. F. Hendry / G. W. Smith (1986), Exploring Equilibrium Relations in Econometrics through Static Models: Some Monte Carlo Evidence, Oxford Bulletin of Economics and Statistics 48 (1986), S. 253 - 277.
Google Scholar -
R. A. Bewley (1979), The Direct Estimation of the Equilibrium Response in a Linear Dynamic Model, Economics Letters 3 (1979), S. 357 - 361.
Google Scholar -
D. A. Dickey / W. A. Fuller (1981), Likelihood Ratio Test Statistics for Autoregressive Time Series With a Unit Root, Econometrica 49 (1981), S. 1057 - 1072.
Google Scholar -
R. F. Engle / C. W. J. Granger (1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica 55 (1987), S. 251 - 276.
Google Scholar -
I. Fisher (1930), The Theory of Interest, New York 1930; deutsche Übersetzung: Die Zinstheorie, Gustav Fischer, Jena 1932.
Google Scholar -
W. A. Fuller (1976), Introduction to Statistical Time Series, Wiley, New York 1976.
Google Scholar -
W. Gebauer (1982), Realzins, Inflation und Kapitalzins, Springer, Berlin / Heidelberg / New York 1982.
Google Scholar -
M. Granziol / H. Schelbert (1983), Ex ante Real-Zinssätze am Euromarkt, Zeitschrift für Wirtschafts- und Sozialwissenschaften 103 (1983), S. 437 - 459.
Google Scholar -
A. Banerjee / J. J. Dolado / D. F. Hendry / G. W. Smith (1986), Exploring Equilibrium Relations in Econometrics through Static Models: Some Monte Carlo Evidence, Oxford Bulletin of Economics and Statistics 48 (1986), S. 253 – 277.
Google Scholar -
R. A. Bewley (1979), The Direct Estimation of the Equilibrium Response in a Linear Dynamic Model, Economics Letters 3 (1979), S. 357 – 361.
Google Scholar -
D. A. Dickey / W. A. Fuller (1981), Likelihood Ratio Test Statistics for Autoregressive Time Series With a Unit Root, Econometrica 49 (1981), S. 1057 – 1072.
Google Scholar -
R. F. Engle / C. W. J. Granger (1987), Cointegration and Error Correction: Representation, Estimation and Testing, Econometrica 55 (1987), S. 251 – 276.
Google Scholar -
I. Fisher (1930), The Theory of Interest, New York 1930; deutsche Übersetzung: Die Zinstheorie, Gustav Fischer, Jena 1932.
Google Scholar -
W. A. Fuller (1976), Introduction to Statistical Time Series, Wiley, New York 1976.
Google Scholar -
W. Gebauer (1982), Realzins, Inflation und Kapitalzins, Springer, Berlin / Heidelberg / New York 1982.
Google Scholar -
M. Granziol / H. Schelbert (1983), Ex ante Real-Zinssätze am Euromarkt, Zeitschrift für Wirtschafts- und Sozialwissenschaften 103 (1983), S. 437 – 459.
Google Scholar
Abstract
Is Real Interest Stationary? Hypothetical Ideas and Empirical Results
This contribution analyses nominal rates of interest and rates of inflation on the one hand and ex-post real rates of interest on the other with a view to establishing whether they are stationary in nature. To this end, three-months domestic and Euromarket rates of interests have been analysed for the United States of America, Switzerland and the Federal Republic of Germany on the basis of the flexible exchange rate data governing the period from 1974. It has turned out that all three quantities were non-stationary in character. Moreover, there was little evidence suggesting co-integration of nominal rates of interest and rates of inflation. All this is hardly compatible with the validity of the Fisher hypothesis. But it must be borne in mind that the assumptions made for inflationary expectations in the theoretical mode have turned out to be highly unsatisfactory compared with actual inflationary developments, i.e. been subject to relatively big (prognosticating) mistakes, and that such mistakes tend to "inflate" also the variability of real rates of interest. "Better" results may only be expected from an "improved" coverage of inflationary expectations.