The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-89
AbstractThis article estimates real interest rates and inflation expectations from market-observable data without assuming anything about the form of agents' expectation-formation mechanism. By examining prices of index-linked and conventional gilt-edged securities form the U.K. bond market, real interest rates and inflation expectations are computed quarterly beginning 1982:2 for up to fourteen maturities ranging from 1988 to 2024. Copyright 1990 by the University of Chicago.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 63 (1990)
Issue (Month): 3 (July)
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Web page: http://www.journals.uchicago.edu/JB/
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- Donald Robertson & James Symons, 1993. "Five Weeks in the Life of the Pound: Interest Rates," CEP Discussion Papers dp0133, Centre for Economic Performance, LSE.
- Aziz, Andrew R. & Prisman, Eliezer Z., 2000. "After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1433-1455, September.
- Robert L. Hetzel, 1992. "Indexed bonds as an aid to monetary policy," Economic Review, Federal Reserve Bank of Richmond, issue Jan, pages 13-23.
- Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2011. "Inflation expectation and implicit inflation: does market research provide accurate measures?," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 83-100, July.
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