Are Ex-Post Real Interest Rates a Good Proxy for Ex-Ante Real Rates? An International Comparison with a CCAPM Framework

Juan Ayuso and J. David López-Salido
Authors registered in the RePEc Author Service: J. David Lopez-Salido

Working Papers from Banco de España

Abstract: We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different preference specifications.

Keywords: INFLATION; INTEREST RATE (search for similar items in EconPapers)
JEL-codes: E31 E43 (search for similar items in EconPapers)
Pages: 35 pages
Date: 1997
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:9710

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().