Real Interest Rates and Index Linked Gilts
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 UK index linked bonds. These rates are used to investigate the impact of monetary policy and the nature of expectations formation in the bond market.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Nov 1993|
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References listed on IDEAS
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- 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)