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The Term Structure of Inflationary Expectations and Market Efficiency

1980; Wiley; Volume: 35; Issue: 1 Linguagem: Inglês

10.2307/2327181

1540-6261

Thomas F. Cargill, Robert A. Meyer,

Economic theories and models

The Journal of FinanceVolume 35, Issue 1 p. 57-70 Article The Term Structure of Inflationary Expectations and Market Efficiency THOMAS F. CARGILL, THOMAS F. CARGILL ProfessorSearch for more papers by this authorROBERT A. MEYER, ROBERT A. MEYER ProfessorThe authors are professors, University of Nevada, Reno, and University of California, Berkeley, respectively. An earlier version of this paper was presented at the 1978 Meetings of the Econometric Society. We would like to thank A. Popandropolus and A. Policano for their comments and suggestions as well as Jeff Jaffe.Search for more papers by this author THOMAS F. CARGILL, THOMAS F. CARGILL ProfessorSearch for more papers by this authorROBERT A. MEYER, ROBERT A. MEYER ProfessorThe authors are professors, University of Nevada, Reno, and University of California, Berkeley, respectively. An earlier version of this paper was presented at the 1978 Meetings of the Econometric Society. We would like to thank A. Popandropolus and A. Policano for their comments and suggestions as well as Jeff Jaffe.Search for more papers by this author First published: March 1980 https://doi.org/10.1111/j.1540-6261.1980.tb03471.xCitations: 9 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL REFERENCES 1 Board of Governors of the Federal Reserve System, Federal Reserve Bulletin, various issues. 2 T. F. Cargill. “Anticipated Price Changes and Nominal Interest Rates in the 1950's.” Review of Economics and Statistics, 58 (August 1976). 3T. F. Cargill. “Direct Evidence of the Darby Hypothesis for the United States.” Economic Inquiry, 15 (January 1977). 4 T. F. Cargill, and R. A. Meyer. “A Spectral Approach to Estimating the Distributed Lag Relationship Between Long and Short Interest Rates.” International Economic Review, 13 (June 1972). 5 T. F. Cargill, and R. A. Meyer. “Interest Rates and Prices Since 1950.” International Economic Review, (June 1974). 6 T. F. Cargill, and R. A. Meyer. “Estimating Term Structure Phenomena from Data Aggregated Over Time.” Journal of Money, Credit, and Banking, 6 (November 1974). 7 T. F. Cargill, and R. A. Meyer. “Intertemporal Stability of the Interest Rate Relationship.” Journal of Finance, 32 (September 1977). 8 T. F. Cargill, and R. A. Meyer. “The Time Varying Response of Income to Changes in Monetary and Fiscal Policy.” Review of Economics and Statistics, 60 (February 1978). 9 J. A. Carlson. “A Study of Price Forecasts.” Annals of Economic and Social Measurement, 6 (Winter 1977). 10 J. A. Carlson. “Expected Inflation and Interest Rates.” forthcoming in Economic Inquiry. 11 J. Carr, J. Pesando, and L. Smith. “Tax Effects, Price Expectations and the Nominal Rate of Interest.” Economic Inquiry, 14 (June 1976). 12 M. R. Darby. “The Financial and Tax Effects of Monetary Policy on Interest Rates.” Economic Inquiry, 13 (June 1975). 13 E. Fama. “Short-Term Interest Rates as Predictors of Inflation.” American Economic Review, 65 (June 1975). 14 E. Fama, and W. Schwert. “Asset Returns and Inflation.” (Working Paper No. 7716, University of Chicago, revised June 1977). 15 I. Fisher. The Theory of Interest. New York: MacMillan. (1930). 16 W. Gibson. “Interest Rates and Inflationary Expectations: New Evidence.” American Economic Review, 62 (December 1972). 17 I. B. Ibrahim, and R. M. Williams. “The Fisher Relationship under Different Monetary Standards.” Journal of Money, Credit and Banking, 10 (August 1978). 18 K. Lahiri. “Inflationary Expectations: Their Formation and Interest Rate Effects.” American Economic Review (March 1976). 19 M. Levi, and J. Makin. “Fisher, Phillips, Friedman and the Measured Impact of Inflation on Interest.” (unpublished manuscript, University of Washington, September 1977). 20 J. Lintner. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, 47 (February 1965). 21 J. McCulloch. “An Estimate of the Liquidity Premium.” Journal of Political Economy, 83 (February 1975). 22 D. H. Pyle. “Observed Price Expectations and Interest Rates.” Review of Economics and Statistics, 54 (August 1972). 23 Salomon Brothers. An Analytical Record of Yields and Yield Spreads. (New York, November 1977). 24 W. Sharpe. “Capital Asset Prices: A Theory of Equilibrium Under Conditions of Risk.” Journal of Finance, 19 (September 1964). 25 S. Turnovsky. “Empirical Evidence on the Formation of Price Expectations.” Journal of the American Statistical Association, 65 (December 1970). 26 U.S. Department of Commerce. Handbook of Cyclical Indicators (May 1977). 27 W. Yoke, and D. Karnosky. “Interest Rates and Price Level Changes.” Federal Reserve Bank of St. Louis Review, 51 (December 1969). Citing Literature Volume35, Issue1March 1980Pages 57-70 ReferencesRelatedInformation