Investigating excess returns from nominal bonds

Article Abstract:

The historical excess returns of UK nominal bonds are compared to the excess returns suggested by a simple intertemporal optimizing model. According to the comparison the inflation term structure forecast the level of inflation by an average of around 200 bp across maturities

Return on investment, Rate of return

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Inflation uncertainty, output growth uncertainty and macroeconomic performance

Article Abstract:

The article uses bivariate generalized autoregressive conditionally heteroskedastic methods to examine the impact of inflation volatility on economic growth.

Scientific Research and Development Services, Development, Economic Programs-Total Govt, Administration of Economic Programs, Methods, Influence, Economic development, Macroeconomics, Heteroscedasticity

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Fluctuation tests for a change in persistence

Article Abstract:

The article proposes statistical methods to examine inflation rate variation in the United States.

United States, Usage, Economic forecasting, Statistical methods

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