Five weeks in the life of the pound: interest rates

Donald Robertson and J. Symons

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Yields to maturity of a set of nominal and index linked gilts are used to obtain estimates of the term structures of nominal and real interest rates. These allow calculation of the term structures of nominal and real interest rates. These also allow calculation of expected inflation. The estimation is performed for a period of five weeks including the date of sterling''s exit from the ERM. We look at the macroeconomic consequences of the shift in the exchange rate regime as implied by the behaviour of financial markets, and how those markets incorporate new information.

JEL-codes: F3 G3 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1993-03
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http://eprints.lse.ac.uk/20983/ Open access version. (application/pdf)

Related works:
Working Paper: Five Weeks in the Life of the Pound: Interest Rates (1993)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:20983

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