The policy anticipation hypothesis and the expected inflation hypothesis: some new evidence using index linked bonds

D. A. Peel, P. F. Pope, K. Paudyal

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

Using price index linked and conventional bonds issued by the UK Government, estimates of expected inflation and the expected real interest rate are derived. These estimates are employed to investigate the relationship between components of the nominal interest rate and surprise monetary change. The empirical results support the expected inflation hypothesis rather than the policy anticipation hypothesis.

Original languageEnglish
Pages (from-to)121-125
Number of pages5
JournalEconomics Letters
Volume34
Issue number2
DOIs
Publication statusPublished - 31 Oct 1990

Keywords

  • index linked bonds
  • inflation
  • interest rate

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