What Was the Market's View of U.K. Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds

Preprint

1 January 1998

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.937350

Abstract

A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time varying and can be estimated by combining the

Keywords

INFLATION RISK
EXPECTED INFLATION
INDEXED BONDS
AFFINE YIELDS AND MONETARY POLICY

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