The link between London interbank interest rates and future inflation in the UK is investigated over a period which … interest rates and future inflation is found to break down after 1985 …

New evidence is presented on the information content of expected inflation derived from index-linked and conventional … find that there is little information content in this yield-curve-based expected inflation data. In the 12- and 24-month … cases, the tests call on an alternative expected inflation series derived from consumer expectations surveys. We show that …

-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of … rate series and the stationary component of the real interest rate is estimated and shocks to expected inflation and the ex …-ante real rate are identified using the long-run restriction that only shocks to expected inflation have long-run effects on the …