Are Ex-Post Real Interest Rates a Good Proxy for Ex-Ante Real Rates? An International Comparison with a CCAPM Framework.

We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.

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Year of publication:	1997
Authors:	Ayuso, Juan ; López-Salido, J. David
Institutions:	Banco de España
Subject:	INFLATION \| INTEREST RATE

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Series:	Banco de España Working Papers.
Type of publication:	Book / Working Paper
Notes:	35 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005022298