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Expected inflation and real interest rates based on index-linked bond prices: the U.K. experience

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  • Gabriel de Kock

Abstract

Some analysts have argued that indexed bonds convey important information for the formulation of monetary policy. This article investigates whether a market measure of expected inflation derived from British indexed gilt prices would be useful in predicting future inflation and real economic activity.

Suggested Citation

  • Gabriel de Kock, 1991. "Expected inflation and real interest rates based on index-linked bond prices: the U.K. experience," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 47-60.
  • Handle: RePEc:fip:fednqr:y:1991:i:aut:p:47-60:n:v.16no.3
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    File URL: http://www.newyorkfed.org/research/quarterly_review/1991v16/v16n3article4.pdf
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    References listed on IDEAS

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    1. Ando, Albert & Auerbach, Alan J., 1988. "The cost of capital in the United States and Japan: A comparison," Journal of the Japanese and International Economies, Elsevier, vol. 2(2), pages 134-158, June.
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    Cited by:

    1. Aziz, Andrew R. & Prisman, Eliezer Z., 2000. "After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1433-1455, September.
    2. 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.

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