Are Ex-Post Real Interest Rates a Good Proxy for Ex-Ante Real Rates? An International Comparison with a CCAPM Framework
AbstractWe use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 9710.
Length: 35 pages
Date of creation: 1997
Date of revision:
INFLATION ; INTEREST RATE;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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