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The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-89

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  • Woodward, G Thomas

Abstract

This article estimates real interest rates and inflation expectations from market-observable data without assuming anything about the form of agents' expectation-formation mechanism. By examining prices of index-linked and conventional gilt-edged securities form the U.K. bond market, real interest rates and inflation expectations are computed quarterly beginning 1982:2 for up to fourteen maturities ranging from 1988 to 2024. Copyright 1990 by the University of Chicago.

Suggested Citation

  • Woodward, G Thomas, 1990. "The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-89," The Journal of Business, University of Chicago Press, vol. 63(3), pages 373-398, July.
    • Handle: RePEc:ucp:jnlbus:v:63:y:1990:i:3:p:373-98
    DOI: 10.1086/296512
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    Citations

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    Cited by:

    1. Robertson, Donald & Symons, James, 1997. "Real Interest Rates and Index-Linked Gilts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 65(1), pages 25-43, January.
    2. Thomas Mayer, 1998. "Indexed Bonds And Heterogeneous Agents," Contemporary Economic Policy, Western Economic Association International, vol. 16(1), pages 77-84, January.
    3. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
    4. Flávio de Freitas Val & Claudio Henrique da Silveira Barbedo & Marcelo Verdini Maia, 2011. "Inflation expectation and implicit inflation: does market research provide accurate measures?," Brazilian Business Review, Fucape Business School, vol. 8(3), pages 83-100, July.
    5. Aziz, Andrew R. & Prisman, Eliezer Z., 2000. "After-tax term structures of real interest rates: Inferences from the UK linked and non-linked gilt markets," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1433-1455, September.
    6. Robert L. Hetzel, 1992. "Indexed bonds as an aid to monetary policy," Economic Review, Federal Reserve Bank of Richmond, vol. 78(Jan), pages 13-23.
    7. Robertson, D. & Symons, J., 1993. "Five weeks in the life of the pound: interest rates," LSE Research Online Documents on Economics 20983, London School of Economics and Political Science, LSE Library.
    8. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
    9. Shang-Wu Yu, 1999. "Approximating the term structure of interest rates in Japan," Applied Economics Letters, Taylor & Francis Journals, vol. 6(7), pages 403-407.

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