the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase …We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index, and solve for … the number of state variables characterizing both the bond prices and the optimal portfolio. The lag-induced state …

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 data, we show that the level of liquidity affects TIPS, whereas swap yields …

Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and … 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 …

use these to create hypothetical inflation-linked bond returns. We compare these with the return on actual inflation …. We confirm these findings for a sample of 19 international inflation-linked bond markets. Using surveys of professional … forecasters, we create hypothetical inflation-linked bond return series for 41 countries starting in 1987 or later depending on …