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1、FlashEconomicsDoes“Neo-Fisherism”makesense?06December2017-1405“Neo-Fisherism”isatheorythatstatesthat,inthecontextoftheFisherrelation,thenominalinterestratedeterminesexpectedinflationandthereforeinflationandnotthereverse.Inacountrywithverylowinflationandariskofdeflat
2、ion,itisapermanentincrease(andnotalastingreduction)innominalinterestratesthatmayliftinflation.Weuseaneconometricapproachtodeterminewhetherthenominalinterestratedoescauseinflation,atleastinthemediumterm,intheUnitedStates,theeurozoneandJapan.Indeed,wefindstatisticalsi
3、gnsofNeo-Fisherismintheeconometricanalysisforthethreecountries,withalaggedcausalityfromnominalinterestratestoinflation.PatrickArtusTel.(331)58551500patrick.artus@natixis.com@PatrickArtuswww.research.natixis.comCORPORATE&INVESTMENTBANKINGINVESTMENTSOLUTIONS&INSURANCE
4、DistributionofthisreportintheUnitedStates.Seeimportantdisclosuresattheendofthisreport..SPECIALIZEDFINANCIALSERVICESFlashEconomicsNeo-FisherismdescribestheoppositemonetarypolicytothatwhichistypicallyconductedAccordingtothetypicaldescriptionofthefoundationofmonetarypo
5、licy,areductioninthenominalinterestratepushesdowntherealinterestrate,whichstimulatesdemandanddrivesupinflation.ButtheFisherrelationmustbeconsidered:Nominalinterestrate=Realinterestrate+ExpectedinflationInthemediumterm,therealinterestrateisdeterminedbyrealfeaturesint
6、heeconomy.Ifthenominalinterestrateisreduced,inflationthereforeinevitablyfallsinthemediumterm,whichistheoppositetohowthefunctioningofmonetarypolicyistypicallydescribed.Neo-Fisherismthereforestatesthattoobtainalastingincreaseininflation,thenominalinterestratemustbeinc
7、reased(andnotreduced)inalastingmanner(theAppendixcontainssomereferences).HowcantheNeo-Fisherianhypothesisbetested?WewillfocusontheUnitedStates,theeurozoneandJapan.Charts1A,BandCcomparethecentralbanks’keyinterestratesandinflation;Charts2A,BandCcompareinterestrateson1
8、0-yeargovernmentbondsandinflationsince1980.Chart1AChart1BUnitedStates:InflationandFedFundsrateEurozone:Inflationandeuroreporate20FedFundsr
