Five Weeks in the Life of the Pound: Interest Rates
AbstractYields 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 InfoPaper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0133.
Date of creation: Mar 1993
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