Short-Term Movements of Long-Term Real Interest Rates: Evidence from the U.K. Indexed Bond Market / James A. Wilcox.

Format:

Book

Author/Creator:

Wilcox, James A.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w1543.

NBER working paper series no. w1543

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Short-Term Movements of Long-Term Real Interest Rates

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1985.

Summary:

The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected , real yields are associated with forecasts of higher income, with tigher monetary policy, and with positive aggregate supply shocks. Changes in the short-termgrowth rate of the monbetary base, which presumably capture the so-called liquidity effect on the short-terminterst rates, do not perceptibly alterlong-term real rates. Long-term real rates also appear to be unaffected by the rate of expected inflation. Comparison with nominal interest rate equiation estimates reveals that conclusions about the effect of all variables are extremely sensitive to the choice of a proxy for expected long-term inflation.

Notes:

Print version record

1985.