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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References listed on IDEAS
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- 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.
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"Real Interest Rates and Index-Linked Gilts,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 65(1), pages 25-43, January.
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