We hypothesize that financial disintermediation during and after the Great Depression arose from the slow liquidation of failed-bank deposits. Empirical results from incorporating the stock of failed national bank deposits for the period 1921-40 in vector autoregression (VAR) models suggest that...

This paper proposes that there is a dynamic relationship between interest and inflation rates that are jointly determined due to the dual existence of Fisher and Wicksell processes. The Fisher process is the positive relationship between inflation and interest rates wherein causality runs from...

This paper extends previous research on how monetary policy rates impact interest and inflation rates. We develop and apply a system model comprised of joint Fisher-Wicksell effects augmented with the federal funds rate. Theoretical relationships between ex ante and ex post coefficients are...

We hypothesize that financial disintermediation during and after the Great Depression arose from the slow liquidation of failed-bank deposits in the years following financial crises. We construct a data series containing the stock of failed national bank deposits for the period 1921-1940. Our...

The present paper examines the long-run impact of inflation on homeowner equity by investigating the relationship between house prices and the prices of nonhousing goods and services, rather than return series and inflation rates as in previous empirical studies on the inflation hedging ability...

This paper examines the wealth and risk effects of new international bond ratings by Moody's and Samp;P's for selected private firms and government-owned entities in Mexico. Time series regression methods are employed to test for significant shifts in the mean levels as well as the variance of...

Numerous empirical studies establish that inflation has a negative short-run effect on stock returns but few studies report a positive, long-run Fisher effect for stock returns. Using stock price and goods price data from six industrial countries, our empirical results show that long-run Fisher...

Securitization of the residential mortgage market has completely transformed the process of financing home loans in the U.S. over the last two decades. We examine the effects of securitization on yield spreads in the primary mortgage market. Cointegration techniques are employed to test the...

We study the relationships between interest and inflation rates using a recursive equation approach that takes into account both Fisher and Wicksell effects. Extending previous work, a state space representation is used to estimate time-varying ex post Fisher and Wicksell equation effects. We...