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Inflation and Bond Yields


  • Simmons, Peter

    (University of York)

  • Weiserbs, Daniel

    (UNIVERSITE CATHOLIQUE DE LOUVAIN, Institut de Recherches Economiques et Sociales (IRES))


This paper uses monthly survey data to derive short and long run expected inflation time series. This data is then combined with time series of the risk premia on the bonds and the variance of future inflation. We find not maturity effect but remarkable consistency across bonds in the effects of the variance of future inflation measured by the diversity of survey opinion.

Suggested Citation

  • Simmons, Peter & Weiserbs, Daniel, 1993. "Inflation and Bond Yields," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 1993003, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  • Handle: RePEc:ctl:louvir:1993003

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    References listed on IDEAS

    1. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
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    3. Abel, Andrew B & Blanchard, Olivier J, 1986. "The Present Value of Profits and Cyclical Movements in Investment," Econometrica, Econometric Society, vol. 54(2), pages 249-273, March.
    4. Edmond Malinvaud, 1987. "Capital productif, incertitudes et profitabilité," Annals of Economics and Statistics, GENES, issue 5, pages 1-36.
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    6. Omar Licandro, 1992. "Investment Dynamics and Capacity Utilization under Monopolistic Competition," Annals of Economics and Statistics, GENES, issue 27, pages 91-113.
    7. repec:adr:anecst:y:1987:i:5:p:01 is not listed on IDEAS
    8. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    9. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    10. Hayashi, Fumio, 1982. "Tobin's Marginal q and Average q: A Neoclassical Interpretation," Econometrica, Econometric Society, vol. 50(1), pages 213-224, January.
    11. repec:adr:anecst:y:1992:i:27 is not listed on IDEAS
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    inflation; financial policy;


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