Inflation and Bond Yields

Peter Simmons and Daniel Weiserbs ()

No 1993003, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

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.

Keywords: inflation; financial policy (search for similar items in EconPapers)
Pages: 17
Date: 1993-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:1993003

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