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1、JOURNALOFMonetaryELSEVIERJournalofMonetaryEconomics39(1997)361-383ECONOlVIICSInflation,realinterestrates,andthebondmarket:AstudyofUKnominalandindex-linkedgovernmentbondpricesDavidG.Barra,JohnY.Campbellb'c'*aCenter.[orEmpiricalResearchinFinance,BrunelUniversity,Uxbridge,Middlesex,UB83PH
2、,UKbDepartmentofEconomics,LittauerCenter,HarvardUnit,ersity,Cambridge,MA02138,USAcNationalBureauofEconomicResearch,CambridgeMA02138,USAAccepted18March1997AbstractThispaperestimatesexpectedfuturerealinterestratesandinflationratesfromobservedpricesofUKgovernmentnominalandindex-linkedbond
3、s.TheestimationmethodtakesaccountofimperfectionsintheindexationofUKindex-linkedbonds.Itassumesthatexpectedlogreturnsonallbondsareequal,andthatexpectedrealinterestratesandinflationfollowsimpletime-seriesprocesseswhoseparameterscanbeestimatedfromthecross-sectionofbondprices.Theextractedi
4、nflationexpectationsforecastactualfutureinflationmoreaccuratelythannominalyieldsdo.Theestimatedrealinterestrateishighlyvariableatshorthorizons,butcomparativelystableatlonghorizons.Changesinrealratesandexpectedinflationarestronglynegativelycorrelatedatshorthorizons,butnotatlonghorizons.
5、Keywords:Index-linkedbonds;Inflationexpectations;Realinterestrates;YieldcurvesJELclassi[ication:E31;E41;E43;G12*Correspondenceaddress:DepartmentofEconomics,LittauerCenter,HarvardUniversity,Cambridge,MA02138,USA.TheauthorsaregratefultoseminarparticipantsattheCentreforEconomicPerformance
6、,LSE,andtheNBERforhelpfulcomments.CampbellacknowledgesthefinancialsupportoftheNationalScienceFoundation.0304-3932/97/$17.00©1997ElsevierScienceB.V.AllrightsreservedPHS0304-3932(97)00027-5362D.G.Barr,J.Y.Campbell~JournalofMonetaryEconomics39(1997)361~831.IntroductionThepricesofassetstra
7、dedbyforward-lookingagentsofferarichsourceofinformationabouttheexpectedfuture.Financialmarketssummarisethedisparateandlargelyunobservableexpectationsofassetholdersandrevealtheminthecodedformofobservableprices.Thechallengetoeconomistsistobreakthiscodebymodellingtherelationshipbetweeni
