Five Weeks in the Life of the Pound: Interest Rates
Yields 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.
|Date of creation:||Mar 1993|
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- 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.
- Donald Robertson & James Symons, 1993. "Real Interest Rates and Index Linked Gilts," CEP Discussion Papers dp0181, Centre for Economic Performance, LSE.
- D. Robertson & J. Symons, 1993. "Real interest rates and index linked gilts," LSE Research Online Documents on Economics 20923, London School of Economics and Political Science, LSE Library.
- 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..
- Eric J Levin & Laurence S Copeland, 1992. "Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium," Working Papers Series 92/8, University of Stirling, Division of Economics.
- Robertson, Donald, 1992. "Term Structure Forecasts of Inflation," Economic Journal, Royal Economic Society, vol. 102(414), pages 1083-1093, September.
- 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 373-398, July.
- Arak, Marcelle & Kreicher, Lawrence, 1985. "The Real Rate of Interest: Inferences from the New U.K. Indexed Gilts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 399-408, June. Full references (including those not matched with items on IDEAS)
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