This paper studies the effects of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis suggests a constant mean of the real interest rate that shifts with the monetary policy regime change to inflation...

This paper studies the effects of the monetary policy regime shift to inflation targeting on the stochastic properties of the real interest rate in the U.K. The empirical analysis suggests a constant mean of the real interest rate that shifts with the monetary policy regime change to inflation...

Indexed bonds provide protection against inflation if they are (i) insensitive to revisions of inflation expectations but (ii) adjust one-for-one to unexpected inflation. The sensitivity of British index-linked gilts to unexpected inflation is statistically significant and consistent with a unit...

In this paper we investigate whether inflation causes the time-varying mean-reverting level in the Balduzzi et al. (Review of Economics and Statistics, Vol. 80, No. 1 (1998), pp. 62-72) short rate model. We find a time-varying mean-reverting level for the UK nominal short rate, but the real...