An Assessment of the Relative Importance of Real Interest Rates, Inflation, and Term Premiums in Determining the Prices of Real and Nominal U.K. Bonds
用向量自回归分解英国短期和长期名义债券及指数挂钩债券的意外回报，发现实际利率新闻影响很小，通胀新闻对两类债券都重要，且风险溢价新闻有共同因子但相对回报主要受通胀新闻驱动。
We use a vector autoregression (VAR) to decompose unanticipated bond returns into news about fundamentals (expected real interest and inflation rates) and expected risk premiums. This decomposition is applied to U.K. short- and long-maturity nominal bonds, and to U.K. index-linked bonds. We also examine the sources of relative conventional and real bond returns. The results suggest that for both bond types, real-rate news plays an insignificant role, and that even for “real” bonds inflation news is important. Both bonds are strongly influenced by news about future risk premiums, but these appear to reflect a common factor that has little influence on their relative returns. News about inflation dominates unanticipated relative returns, which appear to provide a reliable source of information about inflation expectations. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology