Real rates, expected inflation, and inflation risk premia

• 成果类型: Article
• 署名作者: Evans, MDD
• 署名单位: Georgetown University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.75591
• 发表日期: 1998
• 页码: 187-218
• 关键词: monetary-policy; returns

摘要

This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index-linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time-varying inflation risk premia throughout the term structure.