Can Future Market Data Be Used To Understand The Behavior Of Real Interest Rates?
This paper examines whether futures market data can be used to understand the behavior of real interest rates. Several ways of examining the data indicate that futures market data are not particularly informative about real interest rates. No only does this evidence cast some doubt on results in previous research that make use of futures market data to draw inferences about real interest rates, but it also indicates that future research on real interest rates may need to turn to a different line of attack. Copyright 1990 by American Finance Association.
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|Date of creation:||1989|
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NBER Working Papers
1678, National Bureau of Economic Research, Inc.
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- V. Vance Roley, 1986. "The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems," NBER Working Papers 1812, National Bureau of Economic Research, Inc.
- Parks, Richard W, 1978. "Inflation and Relative Price Variability," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 79-95, February.
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- Tanzi, Vito, 1980. "Inflationary Expectations, Economic Activity, Taxes, and Interest Rates," American Economic Review, American Economic Association, vol. 70(1), pages 12-21, March.
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