Identifying the Dynamics of Real Interest Rates and Inflation: Evidence Using Survey Data
利用国债收益率和通胀调查数据，估计了实际利率与预期通胀的动态关系，发现两者显著负相关，且实际利率波动更大、均值回归更弱。
In the context of an equilibrium asset-pricing model, the dynamics of the instantaneous real interest rate and the instantaneous rate of expected inflation are estimated. Unlike previous models, we allow real interest rates and inflation to be mutually dependent processes. The model is estimated as a state-space system that includes observations on various maturity Treasury bills and NBER–ASA survey forecasts of inflation. Over the period 1968–1988, we find evidence that instantaneous real interest rates and expected inflation are significantly negatively correlated. Real interest rates also display greater volatility and weaker mean reversion than expected inflation.