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      What Fisher knew about his relation, we sometimes forget

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      Author
      Arnwine, N.
      Yigit, T. M.
      Date
      2008
      Source Title
      Economics Letters
      Print ISSN
      0165-1765
      Electronic ISSN
      1873-7374
      Publisher
      Elsevier BV
      Volume
      101
      Issue
      3
      Pages
      193 - 195
      Language
      English
      Type
      Article
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      Abstract
      Expected consumption growth increases the real interest rate as one tries to smooth consumption over time. We demonstrate that placing it in the Fisher relation 1) is consistent with the Euler equation governing the purchase of nominal bonds, 2) explains observed procyclicality of the real interest rate. 3) is supported empirically, and 4) provides an alternative method for estimating the consumer's degree of relative risk aversion. (C) 2008 Elsevier B.V. All rights reserved.
      Keywords
      Fisher relation
      Interest rate
      Consumption growth
      Permalink
      http://hdl.handle.net/11693/11670
      Published Version (Please cite this version)
      https://dx.doi.org/10.1016/j.econlet.2008.08.002
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      • Department of Economics 649
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