Determinantes de la tasa de interés: la paradoja de Gibson y la teoría de Fisher

Abstract

The object of this paper is to verify several hypothesis on the determinants of the real interest rate, concentrating on the Gibson paradox, and the Fisher Effect. For this purpose the 1970-1982 period was considered taking monthly and quarterly data for Argentina, Brazil and the United States; as well as annual data for the 1950-1980 period for Argentina. The cases of Argentina and Brazil show a high relationship between interest rate and price level, both for monthly and annual data. This relationship is kept at this level for the first subperiod, but later decreases notably in the second subperiod, and all the studies including commercial papers interest rates (nonfixed) were similar to those including deposit interest rates (fixed). The relationship between these series is very low in the case of the United States. In the short run, the presence of the Fisher Effect could not be verified. The results obtained for Brazil are similar to those obtained for Argentina. In the case of the United States no relationship was verified between the nominal interest rate and the expected rate of inflation. In the long run, with annual data, the equation proposed by Fisher, as well as the one proposed by Fama, were accepted. Contrary to what was expected, when the Fisher equation is proposed, we do not obtain a good estimation in the second subperiod for the Argentine case. The difficulty in working with periods in which controlled interest rates exist, is recognized, due to the problems presented on interpreting the results.