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Inflation and Bond Yields

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  • Peter Simmons
  • Daniel Weiserbs

Abstract

This paper uses monthly survey data to derive short and long run expected inflation time series. This data is then combined with time series of the risk premia on the bonds and the variance of future inflation. We find not maturity effect but remarkable consistency across bonds in the effects of the variance of future inflation measured by the diversity of survey opinion.
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Suggested Citation

  • Peter Simmons & Daniel Weiserbs, "undated". "Inflation and Bond Yields," Discussion Papers 92/14, Department of Economics, University of York.
    • Handle: RePEc:yor:yorken:92/14
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