Show simple item record

dc.contributor.authorBarr, David
dc.contributor.authorCampbell, John
dc.date.accessioned2009-07-10T13:08:03Z
dc.date.issued1997
dc.identifier.citationBarr, David F., and John Y. Campbell. 1997. Inflation, real interest rates, and the bond market: a study of UK nominal and index-linked government bond prices. Journal of Monetary Economics 39, no. 3: 361-383.en
dc.identifier.issn0304-3932en
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:3163261
dc.description.abstractThis 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 follow simple time-series processes whose parameters can be estimated from the cross-section of bond prices. The extracted inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate is highly variable at short horizons, but comparatively stable at long horizons. Changes in real rates and expected inflation are strongly negatively correlated at short horizons, but not at long horizons.en
dc.description.sponsorshipEconomicsen
dc.language.isoen_USen
dc.publisherElsevieren
dc.relation.isversionofhttp://dx.doi.org/10.1016/S0304-3932(97)00027-5en
dash.licenseLAA
dc.subjectyield curvesen
dc.subjectreal interest ratesen
dc.subjectinflation expectationsen
dc.subjectindex-linked bondsen
dc.titleInflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Pricesen
dc.relation.journalJournal of Monetary Economicsen
dash.depositing.authorCampbell, John
dc.identifier.doi10.1016/S0304-3932(97)00027-5*
dash.contributor.affiliatedCampbell, John


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record