Inflation Uncertainties and Returns on Bonds
Bibliographic Data
| ID | 9726528 |
|---|---|
| Authors | Menachem Brenner (0000-0002-4725-8143), Yoram Landskroner |
| Year | 1983 |
| Volume | 50 |
| Issue | 200 |
| Pages | 463 |
| Publication date | 1983-11-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Economica (JOURNAL) |
| Journal identifiers | ISSN: 0013-0427 • E-ISSN: 1468-0335 |
| Publisher | JSTOR (PUBLISHER) |
| DOI | 10.2307/2554307 |
| OpenAlex | W1969006172 |
| Language | EN |
| Citations received | 1 |
| References cited | 3 |
The new wave of research on the effect of inflation on interest rates revolves around the incorporation of inflation uncertainty into the analysis.1 In a recent paper, Liviatan and Levhari (1977) examine in a single-period model the market risk premium on nominal bonds awarded as compensation for inflation-related uncertainty, where this premium is determined by attitudes of investors towards risk and the risk of inflation. The hypothesis that nominal bonds carry an inflation uncertainty premium could be extended to multi-period bonds. This is also consistent with Hick's (1946) liquidity premium, which was estimated by Kessel (1965) and McCullough (1975), who found systematic premia on the average returns of multi-period bonds.2 This study too is concerned with the possible relationships between inflation uncertainties and the returns on multi-period bonds. We are examining the hypotheses using ex ante data and measures of inflation uncertainty based on these data. The two sources of inflation uncertainty that may be associated with the returns on multi-period bonds are the uncertainty about the rate of inflation in the next period, and the uncertainty about expectations of inflation in future periods. For a bond with two periods to maturity, the holding period return is
Bond · Econometrics · Economics · Ex-ante · Financial economics · Inflation (cosmology) · Interest rate · Keynesian economics · Maturity (psychological) · Monetary economics · Real interest rate · Risk premium · Capital Investment and Risk Analysis · Finance · Financial Markets and Investment Strategies · Monetary Policy and Economic Impact
| Citations per year | 0.06 |
|---|---|
| Citation span | 2009 - 2009 (1) |
| Highly cited | No |