TY - BOOK ID - 84541175 TI - The Inverted Fisher Hypothesis : Inflation Forecastability and Asset Substitution" PY - 2000 SN - 1462303439 145279054X 1282061224 9786613799159 1451905211 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Banks and Banking KW - Inflation KW - Macroeconomics KW - Taxation KW - Model Construction and Estimation KW - Interest Rates: Determination, Term Structure, and Effects KW - Price Level KW - Deflation KW - Taxation, Subsidies, and Revenue: General KW - Public finance & taxation KW - Finance KW - Marginal effective tax rate KW - Inflation persistence KW - Consumer price indexes KW - Real interest rates KW - Prices KW - Tax policy KW - Financial services KW - Tax administration and procedure KW - Price indexes KW - Interest rates KW - United States UR - https://www.unicat.be/uniCat?func=search&query=sysid:84541175 AB - This paper examines the implications of inflation persistence for the inverted Fisher hypothesis that nominal interest rates do not adjust to inflation because of a high degree of substitutability between money and bonds. It is emphasized that the substitutability between nominal assets and capital renders the hypothesis inconsistent with the data when inflation persistence is high. Using a switching regression model, the analysis allows the reflection of inflation in interest rates to vary according to the degree of inflation persistence or forecastability. The hypothesis is supported by U.S. data only when inflation forecastability is below a certain threshold. ER -