This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of the authors' estimates of default-risk premia is the resemblance of their time profile to the theoretical time profile obtained by R. C. Merton (1974). Copyright 1989 by American...

The authors develop a method of measuring ex ante real interest rates using prices of index and nominal bonds. Employing this method and newly available data, they directly test the Fisher hypothesis that the real rate of interest is independent of inflation expectations. The authors find a...