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.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 67 (1994)
Issue (Month): 1 (January)
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Web page: http://www.journals.uchicago.edu/JB/
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- 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, 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," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.).
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