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The Inverted Fisher Hypothesis: Inflation Forecastability and Asset Substitution

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Figure

Figure 1. U.S. Price Level, 1800–1992 (logarithm price level, 1950 = ln(100))
Figure 2 depicts the tax-adjusted (ex post) real rate of return on three-month treasury bills and the CPI inflation rate at the maturity of the bill
Figure 3. Rolling Estimates of Inflation Forecasting Regression, 1953:01–1998:12
Figure 4. Standardized Forecastability Index and Smoothing Function Values, 1953:Q2–1997:Q4
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