Loading...
Please wait, while we are loading the content...
Similar Documents
Interest Rates and Inflation Revisited
| Content Provider | Scilit |
|---|---|
| Author | Fama, Eugene F. |
| Copyright Year | 2018 |
| Description | Journal: SSRN Electronic Journal The continuously compounded (CC) nominal interest rate on a one-month U.S. Treasury bill can be expressed as the sum of a CC expected real return and a CC expected inflation rate, R = E(r) E(I). I use two approaches to split R between its two components. In the first, a times-series model for r produces estimates of E(r) which are used to infer E(I) as R-E(r). The second approach estimates a time-series model for I to produce estimates of E(I) and infer E(r) as R-E(I). The estimates of E(I) from both approaches have the somewhat built in properties of rational forecasts. |
| Related Links | https://academic.oup.com/raps/article-pdf/9/2/197/30700361/raz004.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3269310 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3269310 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2018-10-18 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
