Real Rates, Expected Inflation, And Inflation Risk Premia  

Oleh:

Evans, Martin D. D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 53 no. 1 (Feb. 1998), page 187-218.
Topik: Inflation; inflation premia; hypothesis
Fulltext: p 187.pdf (353.49KB)

Isi artikel

This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index-linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time-varying inflation risk premia throughout the term structure.

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