Real risk, inflation risk, and the term structure
构建了英国名义与实际利率期限结构的模型，发现短期通胀预期能准确反映在当期收益率中，但长期期限结构更贴近未来名义和实际收益率的预期变化，而非通胀预期。
I present a model for the term structures of nominal and real interest rates in the UK that incorporates Markov‐switching and allows for non‐neutralities, nonlinear dynamics, and flexibility in the dynamics of the risk premia. The model is used to assess how accurately the term structure reflects changing expectations of future yields and inflation. I find that variations in inflation expected over the next two to three years are very accurately reflected by current yields. Over longer horizons, the term structures closely track changing expectations regarding future nominal and real yields but not future inflation.