To cite this record: http://ddd.uab.cat/record/197
Ex-post Real Interest Rates versus Ex-ante Real Rates : a CCAPM Approach
Ayuso, Juan
López Salido, J. David

Date: 1998
Abstract: We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, (bounds on) inflation risk premia and (bounds on) agents' inflation expectation errors. Using the Spanish economy as a natural case study, we illustrate that, for different preference specifications, 1-year ex-ante real interest rates exhibit a very low correlation with the 1-year ex-post rate. According to our results, the difference between both real rates seems to be mainly explained in terms of agents' inflation expectation errors, while the inflation premia play a minor role.
Abstract: Usando el marco proporcionado por el modelo CCAPM podemos estimar conjuntamente tipos de interés reales ex-ante, y cotas a las expectativas de inflación y primas de riesgo inflacionista. Utilizamos la economía española para ilustrar la baja correlación existente entre los tipos reales ex-ante a un año y sus correspondientes tipos ex-post. Nuestros resultados confirman la importancia de las expectativas de inflación para explicar tales diferencias.
Rights: Tots els drets reservats
Language: Anglès.
Document: article ; recerca ; article ; publishedVersion
Subject: Inflation expectation errors ; inflation risk premia ; preference specifications ; errores de expectativas de inflación ; prima de riesgo inflacionista ; preferencias
Published in: Revista española de economia, V. 15 N. 3 (1998) , p. 379-401, ISSN 0210-1025



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 Record created 2006-03-13, last modified 2014-06-14



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