By necessity, the total return on indexed bonds must be tied to forecasts of specific published price indexes, which may or may not reflect the market’s judgement of the future purchasing power of money. To the extent they do not, of course, the implicit real interest rate is biased in the opposite direction.
Moreover, we are, as yet, unable to separate compensation for inflation risk from compensation for expected inflation. Eventually, financial markets may develop the instruments and associated analytical techniques for unearthing these implicit changes in the price level with some precision.