The long-term bond rate is cointegrated with the actual one-period inflation rate during two sample periods, 1961Q1 to … 1979Q3 and 1961Q1 to 1995Q4. This result indicates that in the long run the bond rate and actual inflation move together … period, when the bond rate rose above the one-period inflation rate, actual inflation accelerated. In the post-1979 period …

In the sample periods studied here, the bond rate and actual inflation move together. However, ways in which they have … current inflation rate, actual future inflation accelerated. In the post-1979 period, however, the rise in the bond rate was … reversed and actual future inflation did not accelerate. The bond rate thus signaled acceleration in future inflation before …

This paper evaluates the properties of nominal interest rates as indicators of inflation expectations. Are they … sets. The results show that the interest rate level is a reasonably good indicator of the level of inflation expectations …. However, changes in interest rates are poor indicators of changes in inflation expectations …

This note examines the behavior of a competitive firm that faces joint price and inflation risk. Given that the price … risk is negatively correlated with the inflation risk in the sense of expectation dependence, the firm optimally opts for … inflation risk, it is not the case when the inflation risk prevails. In contrast to the conventional wisdom, forward hedging …