This review empirically analyzes the expectations hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the United States and in the United Kingdom. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in...

Order book and transactions data from the U.S. Treasury securities market are used to calculate daily measures of bid-ask spreads, depth, and price impact for a twenty-six-year sample period (1991-2017). From these measures, a daily index of Treasury market liquidity is constructed, reflecting...

Inflation is a dreaded word, the mere mention of which can shake the confidence of economists, investment bankers, policy makers, government as well as investors alike. Sustained inflation makes all of us poorer in the long run. Thrift has not been a rewarding proposition for Indian investors in...

We investigate the added value of inflation-linked bonds in an investment portfolio. Recently, several studies questioned the added value of inflation-linked bonds based on empirical analyses on developed markets. We extend the cross-section of countries with a set of nine emerging markets and...

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...

Investors have increasingly allocated assets to emerging markets in the past decade. This primarily took the form of investment in the sovereign debt of, and stocks based in, these countries. As these markets have evolved, sub-components have emerged as viable investment options. This includes a...