@ARTICLE{16968917_1982,
author = {Fama, Eugene F. and Gibbons, Michael R.},
keywords = {capital expenditures, inflation, interest rate, денежные затраты, инфляция, капитальные вложения, процентная ставка},
title = {Inflation, real returns and capital investment},
journal = {Journal of Monetary Economics},
year = {1982},
month = {},
volume = {9},
number = {3},
pages = {297-323},
url = {http://ecsocman.hse.ru/text/16968917/},
publisher = {},
language = {ru},
abstract = {We find evidence for the hypothesis of Mundell (1963) and Tobin
(1965) that the expected real return component of interest rates is
negatively related to the expected inflation component. In the
Mundell-Tobin model, the variation in expected real returns is caused
by the variation in expected inflation. Our evidence suggests,
however, that the variation in expected real returns is more
fundamentally an outcome of the capital expenditures process.
Equilibrium expected real returns vary directly with capital
expenditures in order to induce equilibrium allocations of resources
between consumption and investment. This positive relation between
expected real returns and real activity, which comes out of the real
sector, combines with a negative relation between expected inflation
and real activity, which is traced to the monetary sector, thus
inducing the negative relation between expected inflation and
expected real returns predicted by Mundell and Tobin but explained in
terms of a model much different from theirs. },
annote = {We find evidence for the hypothesis of Mundell (1963) and Tobin
(1965) that the expected real return component of interest rates is
negatively related to the expected inflation component. In the
Mundell-Tobin model, the variation in expected real returns is caused
by the variation in expected inflation. Our evidence suggests,
however, that the variation in expected real returns is more
fundamentally an outcome of the capital expenditures process.
Equilibrium expected real returns vary directly with capital
expenditures in order to induce equilibrium allocations of resources
between consumption and investment. This positive relation between
expected real returns and real activity, which comes out of the real
sector, combines with a negative relation between expected inflation
and real activity, which is traced to the monetary sector, thus
inducing the negative relation between expected inflation and
expected real returns predicted by Mundell and Tobin but explained in
terms of a model much different from theirs. }
}