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Real Interest Rates and Index-Linked Gilts

  • Robertson, Donald
  • Symons, James

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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Article provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.

Volume (Year): 65 (1997)
Issue (Month): 1 (January)
Pages: 25-43

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Handle: RePEc:bla:manch2:v:65:y:1997:i:1:p:25-43
Contact details of provider: Postal: Manchester M13 9PL
Phone: (0)161 275 4868
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Web page: http://www.socialsciences.manchester.ac.uk/disciplines/economics/

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  1. 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, vol. 63(3), pages 373-98, July.
  2. 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..
  3. 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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