The Fisher Hypothesis in the Short Run

In this paper we analyze the Fisher Hypothesis in the framework of five Eastern European countries and the United Kingdom as comparison. We base our analysis on inter-bank interest rates, and the Consumer Price Indexes. We use the general inflation forecast equation of the Fisher Hypothesis. Our results show that the term structure of the nominal interest rates contains predictive power for all durations in Czech Republic, and in the longer durations of 6 and 12 months of maturity for Bulgaria. We observe that the longer the maturity period the greater the predictive power is.