Inflation and Bond Yields

This paper uses monthly survey data to derive short and long run expected inflation time series. This data is then combined with time series of the risk premia on the bonds and the variance of future inflation. We find not maturity effect but remarkable consistency across bonds in the effects of the variance of future inflation measured by the diversity of survey opinion.

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Year of publication:	1993-01-01
Authors:	Simmons, Peter ; Weiserbs, Daniel
Institutions:	Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain
Subject:	inflation \| financial policy

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Series:	Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
Type of publication:	Book / Working Paper
Notes:	The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES) Number 1993003 1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004985008