nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index …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 …

This paper considers how the role of inflation as a leading business-cycle indicator affects the pricing of nominal … growth and inflation. We solve for yields under various assumptions on the evolution of investor beliefs. If inflation is bad … spreads are high in times when inflation news are harder to interpret. This is relevant for periods such as the early 1980s …

This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal … bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the … premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk …

yields on long maturity inflation - indexed bonds. This relationship can be interpreted as defining the fair value of the … exchange rate that will prevail in any model or real world economy in which inflation indexed bonds are traded. An advantage of … take our theory to a dataset spanning the period January 2001 - February 2011 and study a daily , real time decompositions …

these securities represent the only true long-run hedge against inflation risk. CPI-linked bonds make possible the creation … inflation-protected retirement annuities. The introduction of index-linked bonds eliminates one of the main obstacles to the … indexation of benefits in private pension plans. A firm could hedge the risk associated with a long-term indexed liability by …

properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is … endogenous and determined through an interest-rate/Taylor rule. When inflation is exogenous, it is difficult to match the shape … with exogenous inflation does not exhibit any negative autocorrelation - a necessary condition for an upward sloping yield …

This paper has three parts. Part 1 constructs a classical economic model of inflation, augmented by a complete set of … core monetary model explains the history of inflation after WWII and Part 3 provides evidence to show that the … unconventional monetary policy, followed in the wake of the 2008 financial crisis, was effective in stabilizing inflation …

differentials that follow non-linear regime-switching behaviour. The methodology to be used here is estimation of variants of … behaviour is also estimated. The estimation methodology is a regime-switching maximum likelihood procedure. The estimates can …