Ex-post Real Interest Rates versus Ex-ante Real Rates a CCAPM Approach - Search Results

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Ex-post Real Interest Rates versus Ex-ante Real Rates : a CCAPM Approach / Ayuso, Juan ; López Salido, J. David
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. [...]
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. [...]
1998
Revista española de economia, V. 15 N. 3 (1998) , p. 379-401

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