This paper assesses the effect of expected inflation and inflation risk on interest rates within the Fisher hypothesis framework. Autoregressive conditional heteroscedastic models are used to estimate the conditional variability of inflation as a proxy for risk. With the U.K. quarterly data from...

The positive relationship between inflation and inflation uncertainty is well supported by empirical evidence in the literature. However, this does not answer the question of whether the inflation causes the inflation uncertainty and vice versa or both in the Granger sense. The empirical...

Over the years from 1844 to 2013, the United Kingdom had several distinct monetary policy regimes. This paper examines the relationship between the Bank of England policy rate and UK long‐term rates in each regime. Our starting point is R. G. Hawtrey's A century of Bank Rate, which focused...

The relationship between traditional monetary policy goal variables (nominal GDP, real GPD and the inflation rate) and a number of financial market variables is investigated. The question examined is which if any of these financial market variables (monetary aggregates, interest rates and...