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| Tekijä: | Chan, L. |
| Otsikko: | Consumption, inflation risk, and real interest rates: an empirical analysis |
| Lehti: | Journal of Business
1994 : JAN, VOL. 67:1, p. 69-96 |
| Asiasana: | INFLATION RISK INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | The consumption-based asset pricing model is used to examine the relation between inflation and interest rates. To the extent that inflation is correlated with real consumption opportunities, expected real interest rates should incorporate a premium for inflation covariance risk. The empirical results suggest a statistically reliable premium for inflation covariability risk in short-term interest rates. Moreover, part of the time-series variation in inflation covariability risk is predictable. |
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