Inflation-Indexed Bonds and the Expectations Hypothesis

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 existing evidence rejecting the EH in nominal bonds. This rejectio...

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Veröffentlicht in:	NBER Working Paper Series 2011-03, p.16903
Hauptverfasser:	Pflueger, Carolin, Viceira, Luis M
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset Pricing Bond markets Central banks Consumption Debt management Discount coupons Economic conditions Economic theory Government bonds Hypotheses Inflation Interest rates Monetary Economics Risk premiums Studies
Online-Zugang:	Volltext
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