Real Interest Rates and Index-Linked Gilts

Donald Robertson and James Symons

The Manchester School of Economic & Social Studies, 1997, vol. 65, issue 1, pages 25-43

Abstract: This paper derives the ex ante paths of the future expected short (one period) real interest rates at quarterly frequency from observations on the prices of a set of U.K. index-linked bonds. These rates are used to investigate the impact of monetary policy and the nature of expectations formation in the bond market. Copyright 1997 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1997
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Persistent link: http://EconPapers.repec.org/RePEc:bla:manch2:v:65:y:1997:i:1:p:25-43

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