This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This...

In this paper we explore how small countries such as Malaysia, Singapore, and Taiwan, can offer their aging populations the means to protect their retirement income against inflation without the governments directly issuing inflation-protected bonds. While inflation swaps are a well-known means...

A measure of the public's expectation of inflation would assist the Fed in formulating monetary policy. In order to create such a measure, the U.S. Treasury could issue its debt in two forms: standard debt and debt indexed for inflation. The difference in yield on these two forms of debt would...

This paper presents new insights into the dynamics and determinants of arbitrage mispricing in and across seven of the world's largest and most liquid financial markets. Specifically, this paper analyzes mispricing between nominal and inflation-linked bonds (ILB mispricing) in the G7 government...

We study Ramsey optimal fiscal policy under incomplete markets in the case where the government issues only long bonds of maturity N 1. We find that many features of optimal policy are sensitive to the introduction of long bonds, in particular tax variability and the long-run behaviour of debt....