Inflation and Real Interest Rates on Assets with Different Risk Characteristics
Inflation and Real Interest Rates on Assets with Different Risk Characteristics
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具有不同风险特征的资产的通货膨胀和实际利率
DOI：
10.1111/j.1540-6261.1984.tb03659.x
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发表时间：
1984
期刊：
影响因子：
--
通讯作者：
Frederic S. Mishkin
中科院分区：
文献类型：
--
作者：
J. Huizinga;Frederic S. Mishkin
最近的几项研究发现，短期美国国债的事前真实的回报率与通货膨胀和名义利率呈负相关。本文探讨这些发现是否延伸到短期持有回报公开和私人发行的证券的较长期限，是强大的价格指数的选择，并随着时间的推移是稳定的。我们的研究结果表明，在1979年之前，较长期限资产的事前真实的收益率与通货膨胀率和名义利率确实存在负相关关系。事实上，这种关系随着成熟时间的增加而变得更强。这表明，在我们研究的所有资产中，尽管短期美国国债是对冲预期通胀的最佳资产，但没有一种资产是完美的对冲。我们发现1979年债券收益率的随机过程发生了统计上的显著变化，在后一时期，名义利率和事前真实的持有收益率正相关。然而，股票的情况并非如此。虽然上述结果是稳健的价格指数的选择，我们表明，估计水平的事前真实的回报取决于价格指数的选择至关重要。
Several recent studies find that ex ante real returns for short-term U.S. Treasury securities are negatively correlated both with inflation and with nominal interest rates. This paper examines whether these findings extend to the short-term holding return on publicly and privately issued securities of longer maturity, are robust with respect to the choice of price index, and are stable over time. Our results show that before 1979 a negative relationship of ex ante real returns with inflation and nominal interest rates does appear for the longer maturity assets. In fact, the relationship grows stronger with increases in maturity length. This suggests that although short-term U.S. Treasury bills were, of all the assets we study, the best hedge against expected inflation, none of the assets were a perfect hedge. We find a statistically significant change in the stochastic process of bond returns in 1979, with nominal interest rates and ex ante real holding returns being positively correlated in this latter period. This is not true for stocks, however. While the above results are robust to the choice of price index, we show that estimating the level of ex ante real returns depends crucially on the price index chosen.