Consumption, Inflation Risk, and Real Interest Rates: An Empirical Analysis
AbstractThe consumption-based asset pricing model is used to examine the relation between inflation and interest rates. To the extent that inflation is correlated with real consumption opportunities, expected real interest rates should incorporate a premium for inflation covariance risk. The empirical results suggest a statistically reliable premium for inflation covariability risk in short-term interest rates. Moreover, part of the time-series variation in inflation covariability risk is predictable. Copyright 1994 by University of Chicago Press.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 67 (1994)
Issue (Month): 1 (January)
Contact details of provider:
Web page: http://www.journals.uchicago.edu/JB/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Guler, Bulent & Ozlale, Umit, 2004.
"Is there a flight to quality due to inflation uncertainty?,"
7929, University Library of Munich, Germany.
- Guler, Bulent & Ozlale, Umit, 2005. "Is there a flight to quality due to inflation uncertainty?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 603-607.
- Stefania D'Amico & Don H. Kim & Min Wei, 2010.
"Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices,"
Finance and Economics Discussion Series
2010-19, Board of Governors of the Federal Reserve System (U.S.).
- Stefania D'Amico & Don H Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers 248, Bank for International Settlements.
- Stefania D'Amico & Don H. Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.).
- Thomas C. Melzer, 1997. "To conclude: keep inflation low and, in principle, eliminate it," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 3-7.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division).
If references are entirely missing, you can add them using this form.