Real Rates, Expected Inflation, and Inflation Risk Premia
利用英国指数挂钩债券和名义债券价格，估计实际利率期限结构，发现费雪假说和预期假说均被拒绝，且通胀风险溢价随时间变化。
This paper studies the term structure of real rates, expected inflation, and inflation risk premia. The analysis is based on new estimates of the real term structure derived from the prices of index‐linked and nominal debt in the U.K. I find strong evidence to reject both the Fisher Hypothesis and versions of the Expectations Hypothesis for real rates. The estimates also imply the presence of time‐varying inflation risk premia throughout the term structure.