with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 … 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 …

The world's first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the … Revolutionary War. These bonds were invented to deal with severe wartime inflation and with angry discontent among soldiers in the U … to justify indexation …

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 …

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 … indexation of benefits in private pension plans. A firm could hedge the risk associated with a long-term indexed liability by …

We consider the puzzling behavior of interest rates and inflation in the United States and the United Kingdom between … World War I; the average inflation rate was 3.8 percentage points higher in the second period than in the first. Yet nominal … consistent with rational expectations if inflation were not forecastable, and indeed univariate tests show little sign of serial …

fluctuations in expected inflation, is why a strong Fisher effect occurs only for certain periods but not for others. This paper … resolves this puzzle by reexamining the relationship between inflation and interest rates with modern time-series techniques …. Recognition that the level of inflation and interest rates may contain stochastic trends suggests that the apparent ability of …

This paper critically re-examines theory and evidence on the relation- ship between interest rates and inflation. It … concludes that there is no evidence that interest rates respond to inflation in the way that classical or Keynesian theories … inflation in the short or long run. During the post-war period interest rates do appear to be affected by inflation. However …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … model, the empirical results suggest that inflation uncertainty has a negative impact on nominal interest rates and a …