Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis
利用指数债券和名义债券价格测算事前实际利率，直接检验费雪假说，发现实际利率与预期通胀负相关，与蒙代尔-托宾等理论一致，并发现名义利率包含与通胀不确定性正相关的通胀风险溢价。
We develop a method of measuring ex-ante real interest rates using prices of index and nominal bonds. Employing this method and newly available data, we directly test the Fisher hypothesis that the real rate of interest is independent of inflation expectations. We find a negative correlation between ex-ante real interest rates and expected inflation. This contradicts the Fisher hypothesis but is consistent with the theories of Mundell and Tobin, Darby and Feldstein, and Stulz. We also find that nominal interest rates include an inflation risk premium that is positively related to a proxy for inflation uncertainty.