Nominal Exchange Rates and Inflation Indexed Bond Yields

摘要

In Hot Tip: Nominal Exchange Rates and Inflation Indexed Bond Yields (NBER Working Paper No. 18726), Richard Clarida derives a structural relationship between the nominal exchange rate, national price levels, and observed yields on long maturity inflation-indexed bonds. Then, using high frequency data spanning the period January 2001 to February 2011, he decomposes the pound, euro, and yen exchange rates against the dollar into their fair value and risk premium components.