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

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

doi:10.1016/0165-1765(90)90230-X

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

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

Accounting And Finance

Research output: Contribution to journal › Article › peer-review

2 Citations (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 language	English
Pages (from-to)	121-125
Number of pages	5
Journal	Economics Letters
Volume	34
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(90)90230-X
Publication status	Published - 31 Oct 1990

Keywords

index linked bonds
inflation
interest rate

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10.1016/0165-1765(90)90230-X

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

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.",

keywords = "index linked bonds, inflation, interest rate",

author = "Peel, {D. A.} and Pope, {P. F.} and K. Paudyal",

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T2 - some new evidence using index linked bonds

AU - Peel, D. A.

AU - Pope, P. F.

AU - Paudyal, K.

PY - 1990/10/31

Y1 - 1990/10/31

N2 - 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.

AB - 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.

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KW - inflation

KW - interest rate

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UR - https://www.sciencedirect.com/journal/economics-letters

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ER -

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

Abstract

Keywords

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