Real Rates, Expected Inflation, and Inflation Risk Premia
This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index-linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time-varying inflation risk premia throughout the term structure. Copyright The American Finance Association 1998.
Year of publication: |
1998
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Authors: | Evans, Martin D. D. |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 53.1998, 1, p. 187-218
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Publisher: |
American Finance Association - AFA |
Saved in:
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