This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal … bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the … premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk …

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 …

This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …

inflation risk that co-moves with expected inflation itself …

yields on long maturity inflation - indexed bonds. This relationship can be interpreted as defining the fair value of the … exchange rate that will prevail in any model or real world economy in which inflation indexed bonds are traded. An advantage of … with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 …

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government … nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation …

This paper presents a new explanation for the negative correlation between ex post real interest rates and inflation … movements in ex post real interest rates and inflation. We argue that such a correlation can arise when people incorporate … anticipated shifts in inflation policy into their expectations. Under these circumstances, a shift to lower (higher) inflation …

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 …

-series variation of conditional volatility and skewness of the swap rate distributions implied by the swaption cube. We then develop … and skewness of the risk-neutral and physical swap rate distributions. Finally, we investigate the fundamental drivers of … important factor in the USD market, and inflation beliefs the most important factor in the EUR market. This is consistent with …