This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …

The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle … on how inflation is priced in financial markets. Not all inflation episodes are created equal. Using in a New Keynesian … model, we show how "good" inflation can be linked to demand shocks and "bad" inflation to supply shocks driving the economy …

This paper investigates the hypothesis that surprise changes in the money supply and anticipated inflation (the Mundell … surprises and expected real interest or an inverse relationship between anticipated inflation and expected real interest. These …

explained largely by changes in expected inflation. It presents and tests a model of expected, after-tax real interest rate … changes in anticipated inflation has been below levels anticipated by many investigators; (2) how the measured impact on … did so by an estimated 24 basis points);(4) inflation uncertainty produces no significant impact on interest rates due to …

pricing theory: the persistence of the short rate and variability of the long end of the yield curve. We suggest that this …

inflation and the term structure of real interest rates. The evidence indicates that there is substantial information in the …inflation: the slope of the term structure does have a great deal of predictive power for future changes in inflation … contains no information about the future path of inflation, but it does contain a great deal of information about the term …

inflation in ten OECD countries. The empirical results on the information in the term structure contrast with those that find … that the level of interest rates help forecast the future level of inflation. Instead, they indicate that for the majority … inflation. The results for France, the United Kingdom and Germany tell a different story, however. In these countries, the term …