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| Tekijä: | Chu, Q. Lee, C. Pittman, D. |
| Otsikko: | On the inflation risk premium |
| Lehti: | Journal of Business Finance and Accounting
1995 : SEP, VOL. 22:6, p. 881-892 |
| Asiasana: | INFLATION RISK INTEREST RATES |
| Kieli: | eng |
| Tiivistelmä: | This paper test a hypothesis of an inflation risk premium when investors may hold three types of assets - index-linked gilts, nominal bonds, and equity assets - in the presence of uncertain inflation. returns for the three types of assets traded in the united Kingdom between January 1985 and August 1991 are the data sources for testing the hypothesis. The empirical test shows that there exists a statistically significant inflation risk premium as measured by the difference between the expected real return on nominal bonds and the expected real return on the index-linked gilts. |
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