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Real Interest Rates and Index Linked Gilts

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Author Info

  • Donald Robertson
  • James Symons

Abstract

This paper derives the ex ante paths of the future expected short (one period) real interest rates at quarterly frequency from observations on the prices of a set of U.K. index-linked bonds. These rates are used to investigate the impact of monetary policy and the nature of expectations formation in the bond market. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

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File URL: http://cep.lse.ac.uk/pubs/download/DP0181.pdf
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Bibliographic Info

Paper provided by Centre for Economic Performance, LSE in its series CEP Discussion Papers with number dp0181.

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Date of creation: Nov 1993
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Handle: RePEc:cep:cepdps:dp0181

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

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References

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  1. Levin, Eric J & Copeland, Laurence S, 1993. "Reading the Message from the U.K. Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(0), pages 13-34, Suppl..
  2. Robertson, D & Symons, J, 1994. "Five Weeks in the Life of the Pound. Interest Rates, Expectations and Sterling's Exit from the ERM," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 1-12, February.
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Cited by:
  1. Jagjit S. Chadha & Peter Macmillan & Charles Nolan, 2006. "Independence Day for the “Old Lady? A Natural Experiment on the Implications of Central Bank Independence," CDMA Working Paper Series 200602, Centre for Dynamic Macroeconomic Analysis.
  2. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
  3. Conlin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets," Journal of Real Estate Research, American Real Estate Society, vol. 16(3), pages 339-356.
  4. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
  5. Donald Robertson & James Symons, 1993. "Five Weeks in the Life of the Pound: Interest Rates," CEP Discussion Papers dp0133, Centre for Economic Performance, LSE.

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