G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w1333
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[John Huizinga]的文章
[Frederic S. Mishkin]的文章
百度学术
百度学术中相似的文章
[John Huizinga]的文章
[Frederic S. Mishkin]的文章
必应学术
必应学术中相似的文章
[John Huizinga]的文章
[Frederic S. Mishkin]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w1333.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。