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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w1333 |
来源ID | Working Paper 1333 |
Inflation and Real Interest Rates on Assets with Different Risk Characteristics | |
John Huizinga; Frederic S. Mishkin | |
发表日期 | 1984-04-01 |
出版年 | 1984 |
语种 | 英语 |
摘要 | Several recent studies find that ex ante real returns for short-term U.S. Treasury securities are negatively correlated both with inflation and with nominal interest rates. This paper examines whether these findings extend to the short-term holding return on publicly and privately issued securities of longer maturity, are robust with respect to the choice of price index, and are stable over time. Our results show that before 1979 a negative relationship of ex ante real returns with inflation and nominal interest rates does appear for the longer maturity assets. In fact, the relationship grows stronger with increases in maturity length. This suggests that although short-term U.S. Treasury bills were, of all the assets we study, the best hedge against expected inflation, none of the assets were a perfect hedge. We find a statistically significant change in the stochastic process of bond returns in 1979, with nominal interest rates and ex ante real holding returns being positively correlated in this latter period. This is not true for stocks, however. While the above results are robust to the choice of price index, we show that estimating the level of ex ante real returns depends crucially on the price index chosen. |
主题 | Macroeconomics |
URL | https://www.nber.org/papers/w1333 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558562 |
推荐引用方式 GB/T 7714 | John Huizinga,Frederic S. Mishkin. Inflation and Real Interest Rates on Assets with Different Risk Characteristics. 1984. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w1333.pdf(411KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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