This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …

and bond returns into changes in expectations of future stock dividends, inflation, short-term real interest rates, and … about future excess stock returns, while excess 10-year bond returns are driven largely by news about future inflation. Real …

expected inflation, and the ""nominal-real covariance"" of inflation and the real interest rate with the real economy. The last …

impact of time-varying inflation. Consistent with the Modigliani-Cohn hypothesis, we find that the level of inflation …