The continuously compounded (CC) interest rate on a one-month Treasury bill observed at the end of month t-1 is the sum of a CC expected real return and a CC expected inflation rate, Rt-1 = Et-1(rt) + Et-1(It). Two approaches are used to split Rt-1 between its two components. In the first,...

My paper, “Does the Fed control interest rates?” is in the 2013 Review of Asset Pricing Studies (Volume 3, pp. 180-199). The paper finds that the Fed controls the Federal Funds (FF) rate (the overnight rate on interbank borrowing of reserves). Other short-term rates are related to FF, but...