Stylized Facts about the Level of Inflation and Short and Long-Term Interest Rates
9 Pages Posted: 4 Dec 2015
Date Written: November 22, 2015
Guillaume, Rebonato and Pogudin (2010) established that rate volatility or the amount an interest rate can move is related to the initial level of the yield. In this brief note, I take their analysis one step further to show that this level dependence is related to inflation volatility being dependent on the level of inflation.
Keywords: inflation, interest rates, yield curve, volatility, bonds, OECD, real rates
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