Robertson, D. and Symons, J. (1993) Five weeks in the life of the pound: interest rates. CEP discussion paper, 133. Centre for Economic Performance, London School of Economics and Political Science, London, UK.
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Yields to maturity of a set of nominal and index linked gilts are used to obtain estimates of the term structures of nominal and real interest rates. These allow calculation of the term structures of nominal and real interest rates. These also allow calculation of expected inflation. The estimation is performed for a period of five weeks including the date of sterling''s exit from the ERM. We look at the macroeconomic consequences of the shift in the exchange rate regime as implied by the behaviour of financial markets, and how those markets incorporate new information.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 1997 The Authors|
|Library of Congress subject classification:||H Social Sciences > HG Finance|
|Sets:||Collections > Economists Online
Research centres and groups > Centre for Economic Performance (CEP)
|Date Deposited:||19 Aug 2008 17:05|
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