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Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies

Westerhout, Ed - 2021

Although inflation-linked bonds have many advantages, nominal bonds are the most important instrument to finance public debts throughout the world. One explanation that the literature has offered is that nominal bonds make countercyclical monetary policies more effective. This paper reconsiders...

Persistent link: https://www.econbiz.de/10013243578

The Capital-Protection Capacity of Emerging-Markets Inflation-Linked Bonds

de Jong, Marielle; Swinkels, Laurens - 2022

We investigate the capital-protection property of inflation-linked bonds in an international context over the period 2012 to 2022. Inflation-linked bonds compensate domestic investors for loss of local purchasing power. Whether the bonds protect foreign investors effectively depends on the...

Persistent link: https://www.econbiz.de/10013405694

The impact of liquidity on in ation-linked bonds : a hypothetical indexed bonds approach

Auckenthaler, Julia; Kupfer, Alexander; Sendlhofer, Rupert - 2014

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity...

Persistent link: https://www.econbiz.de/10010251196

The Impact of Liquidity on Inflation-Linked Bonds : A Hypothetical Indexed Bonds Approach

Auckenthaler, Julia - 2015

Persistent link: https://www.econbiz.de/10013034014

Real Term Structure and Inflation Compensation in the Euro Area

Pericoli, Marcello - 2012

Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...

Persistent link: https://www.econbiz.de/10013110056

An empirical analysis of Swedish government bond yields

Akram, Tanweer; Yadav, Mahima - 2024

This paper econometrically models the dynamics of Swedish government bond (SGB) yields. It examines whether the short … reaffirm John Maynard Keynes's view that the central bank's monetary policy affects long-term government bond yields through … with empirical patterns discerned in previous studies related to government bond yields in both advanced countries and …

Persistent link: https://www.econbiz.de/10014517317

Pricing Inflation Linked Bonds and Hedging Bond Portfolios : A Comparative Analysis Applied to French OAT Indexed Bonds

da Fonseca, José S. - 2016

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

Persistent link: https://www.econbiz.de/10012990025

One index fits none : the conundrum of euro area inflation-linked bonds

Arnold, Ivo J. M. - In: The European journal of finance 21 (2015) 7/9, pp. 575-583

Persistent link: https://www.econbiz.de/10011301230

The role of inflation-linked bonds : increasing, but still modest

Westerhout, Ed W. M. T.; Ciocyte, Ona - 2017

Persistent link: https://www.econbiz.de/10011666376

The missing piece of the puzzle : liquidity premiums in inflation-indexed markets

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2017

Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...

Persistent link: https://www.econbiz.de/10011730002

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