Nominal rates, real rates, and expected inflation: Results from a study of U.S. Treasury Inflation-Protected Securities

Quarterly Review of Economics and Finance

Volumn 43, Issue 3, 2003, Pages 405-417

  Laatsch, Francis E ^a   Klein, Daniel P ^a  

^a BOWLING GREEN STATE UNIVERSITY   (United States)

Author keywords

Duration; Fisher effect; Inflation; TIPS; Zero coupon

Indexed keywords

EID: 0037412040     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(02)00145-X     Document Type: Article

References (18)

1. Breedon, F. (1995). Bond prices and market expectations of inflation. Bank of England Quarterly Bulletin, 160-165 (May).
2. Crockett, J. A. (1998). Rational expectations inflation and the nominal interest rate. Journal of Econometrics, 83, 349-363.
3. Cote, A., Jacob, J., Nelmes, J., & Whittingham, M. (1996). Inflation expectations and Real Return Bonds. Bank of Canada Review, 41-53 (Summer).
4. Darby, M. R. (1975). The financial and tax effects of monetary policy on interest rates. Economic Inquiry, 12, 266-276.
5. DePrince, A. E. Jr., & Ford,W. F. (1998). The U.S. Treasury's Inflation-Protected Securities (TIPS): Market reactions and policy effects. Business Economics, 47-53 (January).
6. Dickey, D. A., Hsaza, D. P., & Fuller, W. A. (1984). Testing for unit roots in seasonal time series. Journal of The American Statistical Association, 79, 355-367.
7. Evans, M. D., & Lewis, K. K. (1995). Do expected shifts in inflation affect estimates of the long-run Fisher relation? Journal of Finance, 50, 225-253.
8. Fisher, I. (1896). Appreciation and interest. Publication of the American Economics Association, 11.
9. Geweke, J., Meese, R., & Dent,W. (1983). Comparing alternative tests of causality in temporal systems. Journal of Econometrics, 21, 161-194.
10. Kandel, S., Ofer, A., & Sarig, O. (1996). Real interest rates and inflation: An ex ante empirical analysis. Journal of Finance, 51(1), 205-225.
11. Lucas, G., & Quek, T. (1998). A portfolio approach to TIPS. The Journal of Fixed Income, 75-84 (December).
12. McCulloch, J. H., & Levis, A. K. (1998). The inflation premium implicit in the U.S. real and nominal term structure of interest rates. Ohio State University Working Paper No. 98-12, updated in 2000.
13. Mishkin, F. S. (1992). Is the Fisher-effect for real? A reexamination of the relationship between inflation and interest rates. Journal of Monetary Economics, 30, 195-215.
14. Mundell, R. (1963). Inflation and real interest. Journal of Political Economy, 71, 280-283.
15. Rudolph-Shabinsky, I., & Trainer, F.H. Jr. (1999). Assigning a duration to inflation-protected bonds. Financial Analysts Journal, 53-59 (September/October).
16. Santomero, A. M., & Babbel, D. F. (1997). Financial markets, instruments, and institutions. Irwin-McGraw-Hill.
17. Taggart, R. A. (1996). Quantitative analysis for investment management. Englewood Cliffs, NJ: Prentice-Hall.
18. Williams, J. B. (1938). The theory of investment value. Cambridge, MA: Harvard University Press.