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Real Interest Rates and Index-Linked Gilts

Author

Listed:
  • Robertson, Donald
  • Symons, James

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

Suggested Citation

  • Robertson, Donald & Symons, James, 1997. "Real Interest Rates and Index-Linked Gilts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(1), pages 25-43, January.
    • Handle: RePEc:bla:manch2:v:65:y:1997:i:1:p:25-43
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    Cited by:

    1. 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.
    2. Colin Lizieri & Steven Satchell & Elaine Worzala & Roberto Dacco', 1998. "Real Interest Regimes and Real Estate Performance: A Comparison of U.K. and U.S. Markets," Journal of Real Estate Research, Taylor & Francis Journals, vol. 16(3), pages 339-356, January.
    3. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
    4. Robertson, D. & Symons, J., 1993. "Five weeks in the life of the pound: interest rates," LSE Research Online Documents on Economics 20983, London School of Economics and Political Science, LSE Library.
    5. Jagjit S. Chadha & Peter Macmillan & Charles Nolan, 2007. "Independence Day For The ‘Old Lady’: A Natural Experiment On The Implications Of Central Bank Independence," Manchester School, University of Manchester, vol. 75(3), pages 311-327, June.

    More about this item

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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