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 …

these securities represent the only true long-run hedge against inflation risk. CPI-linked bonds make possible the creation … inflation-protected retirement annuities. The introduction of index-linked bonds eliminates one of the main obstacles to the …

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 …

Unexpected inflation devalues nominal government bonds. It must therefore correspond to a decline in expected future … each component via a vector autoregression, in response to inflation, recession, surplus and discount rate shocks. Discount … rates, rather than deficits, account for most inflation variation. Smooth inflation that slowly devalues outstanding long …

We define the Fisherian Golden Rule measure of bond market inflation expectations as the difference between bond rates … and trend real GDP growth rates. The concept is based on the Fisherian theory that an increase in longer-term inflation … rates of interest would equal the growth rate of real output. We compare the bond market inflation experiences of 13 …

-recession trend, suggesting hysteresis. Second, while inflation has decreased, it has decreased less than anticipated, suggesting a … breakdown of the relation between inflation and activity. To examine the first, we look at 122 recessions over the past 50 years … unemployment on inflation, for given expected inflation, decreased until the early 1990s, but has remained roughly stable since …

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 …

Information frictions play a central role in the formation of household inflation expectations, but there is no … findings. First, individuals in lower-inflation contexts have significantly weaker priors about the inflation rate. This … also appear to be a source of information frictions: even when information about inflation statistics is made readily …