This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility …

influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial …

aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

aggregate demand gains momentum. If inflation also has inertia, the central bank still overheats the economy during the low …

CNB's credibility at the beginning of 2000's. It was also found out that investor's mid-term and long-term inflation … expectation could differ substantially due to expected convergence of economy to low inflation economic system. …