Around the world with Irving Fisher

This paper aims to show using modern econometric methods how Irving Fisher’s data on interest rates and inflation in New York, London, Paris, Berlin, Calcutta, and Tokyo from 1825 to 1927 suggest that nominal interest rates adjusted neither quickly nor fully to changes in inflation, not even in the long run. In Fisher’s data, interest rates evolve less rapidly than inflation and change less than inflation over time. The so-called Fisher hypothesis therefore refers to a theoretical result arising from the Fisher equation and forward-looking and rational expectations and not the empirical relationship found in his data