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Ex Post Returns and the Interest Rate
Treasury Bill Returns and the Inflation Rate
The Determinants of Unanticipated Changes in Treasury
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after-tax annual average basis points bill rate coefficient bond yield bonds and equities Bureau of Economic business cycle capacity utilization changes in long-term CN rH consumer price index corporate bonds CQ CO CQ Debt and Equity December difference dummy variable Durbin-Watson statistics econometric Economic Research equity returns estimated expected inflation expost returns Fama fiscal surprise variable Granger Causality Hendershott Huang impact industrial production growth inflation rate investors issue coupon rates l0 percent lagged Livingston survey data long-term Treasury coupon Modigliani-Cohn National Bureau negative nominal bill rate nominal interest rates one-month Treasury bill Patric H percentage points period proxy real bill rate real economic activity real rate regression regressor relationship relative Returns on Equities Right-to-Work Laws ro CN ro ro six months six-month inflation standard error stocks Table l.4 tax rate Treasury bill rates Treasury bonds Treasury coupon rates troughs unanticipated changes zero