| 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 ; Versió publicada |
| 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 |
guest ::
