Interest Rates and Inflation Revisited
The continuously compounded (CC) interest rate on a one-month Treasury bill observed at the end of month t-1 is the sum of a CC expected real return and a CC expected inflation rate, Rt-1 = Et-1(rt) + Et-1(It). Two approaches are used to split Rt-1 between its two components. In the first, models fo...
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| Format: | Article |
| Language: | English |
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Oxford University Press
2019
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| Online Access: | View Fulltext in Publisher |