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Optimal Management of Indexed and Nominal Debt

Barro, Robert J. - 1997

A tax-smoothing objective is used to assess the optimal consumption of public debt with respect to maturity and contingencies. This objective motivates the government to make its debt payout contingent on the levels of public outlay and the tax base. If these contingencies are present, but asset...

Persistent link: https://www.econbiz.de/10012472617

Inflation, Real Interest Rates, and the Bond Market : A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David G. - 1996

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked bonds. It assumes that expected log returns on all bonds...

Persistent link: https://www.econbiz.de/10012473007

Security Baskets and Index-Linked Securities

Gorton, Gary - 1991

Security baskets and index-lined securities are securities whose values are functions of the cash flows or values of other assets. Creation of these "composite" securities would seem to be redundant since investors can cost1ess1y replicate them. In this paper we study the existence and optimal...

Persistent link: https://www.econbiz.de/10012475296

Inflation, Index-Linked Bonds, and Asset Allocation

Bodie, Zvi - 1988

The recent introduction of CPI-linked bonds by several financial institutions is a milestone in the history of the U.S. financial system. It has potentially far-reaching effects on individual and institutional asset allocation decisions because these securities represent the only true long-run...

Persistent link: https://www.econbiz.de/10012476264

Welfare Aspects of Government Issue of Indexed Bonds

Fischer, Stanley - 1982

Government issue of bonds indexed to the price level has long been recommended by economists, to no observed effect. Recently skepticism has been expressed about the real effects of such government action, or indeed of any government financial intermediation. This paper examines two main...

Persistent link: https://www.econbiz.de/10012478237

Corporate Supply of Index Bonds

Fischer, Stanley - 1979

This paper develops a simple theory of the supply of index bonds by a firm, and uses that model to examine in some … theory involve the trade-off between the tax advantages of using debt finance and the increasing risk of bankruptcy debt … finance involves. The theory is first used to examine the supply of nominal bonds -- it is thus a theory of the debt …

Persistent link: https://www.econbiz.de/10012478818

The Invention of Inflation-Indexed Bonds in Early America

Shiller, Robert J. - 2003

century. In 1780, the bonds were viewed as at best only an irregular expedient, since there was no formulated economic theory …

Persistent link: https://www.econbiz.de/10012468511

Dividend Dynamics, Learning, and Expected Stock Index Returns

Jagannathan, Ravi - 2015

We present a latent variable model of dividends that predicts, out-of-sample, 39.5% to 41.3% of the variation in annual dividend growth rates between 1975 and 2016. Further, when learning about dividend dynamics is incorporated into a long-run risks model, the model predicts, out-of-sample,...

Persistent link: https://www.econbiz.de/10012457112

Hot Tip : Nominal Exchange Rates and Inflation Indexed Bond Yields

Clarida, Richard H. - 2013

take our theory to a dataset spanning the period January 2001 - February 2011 and study a daily , real time decompositions …

Persistent link: https://www.econbiz.de/10012459935

On the Economic Consequences of Index-Linked Investing

Wurgler, Jeffrey - 2010

Trillions of dollars are invested through index funds, exchange-traded funds, and other index derivatives. The benefits of index-linked investing are well-known, but the possible broader economic consequences are unstudied. I review research which suggests that index-linked investing is...

Persistent link: https://www.econbiz.de/10012462280