Pflueger, Carolin E.; Viceira, Luis M. - In: Annual Review of Financial Economics 3 (2011) 1, pp. 139-158
This review empirically analyzes the expectations hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the United States and in the United Kingdom. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in...