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Five Weeks in the Life of the Pound: Interest Rates

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  • Donald Robertson
  • James Symons

Abstract

Yields to maturity of a set of nominal and index linked gilts are used to obtain estimates of the term structures of nominal and real interest rates. These allow calculation of the term structures of nominal and real interest rates. These also allow calculation of expected inflation. The estimation is performed for a period of five weeks including the date of sterling's exit from the ERM. We look at the macroeconomic consequences of the shift in the exchange rate regime as implied by the behaviour of financial markets, and how those markets incorporate new information.

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Bibliographic Info

Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0133.

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Date of creation: Mar 1993
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Handle: RePEc:cep:cepdps:dp0133

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Web page: http://cep.lse.ac.uk/_new/publications/series.asp?prog=CEP

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  1. Arak, Marcelle & Kreicher, Lawrence, 1985. "The Real Rate of Interest: Inferences from the New U.K. Indexed Gilts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 399-408, June.
  2. Donald Robertson & James Symons, 1993. "Real Interest Rates and Index Linked Gilts," CEP Discussion Papers, Centre for Economic Performance, LSE dp0181, Centre for Economic Performance, LSE.
  3. Woodward, G Thomas, 1990. "The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-89," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 63(3), pages 373-98, July.
  4. Eric J Levin & Laurence S Copeland, 1992. "Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium," Working Papers Series, University of Stirling, Division of Economics 92/8, University of Stirling, Division of Economics.
  5. Robertson, Donald, 1992. "Term Structure Forecasts of Inflation," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 102(414), pages 1083-93, September.
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