with a 50 basis point rise in the inflation indexed bond return differential in favor of the foreign country and an 50 … yields on long maturity inflation - indexed bonds. This relationship can be interpreted as defining the fair value of the … exchange rate that will prevail in any model or real world economy in which inflation indexed bonds are traded. An advantage of …

We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time …-series models of the joint dynamics of each asset-inflation pair, for multiple inflation indices and at horizons from one month to … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types …

The global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue … comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond … approaching the subject for the first time. The book also provides unique insight into the development of inflation …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

Mispricing between Treasury inflation linked bond and nominal bonds is an issue under attention. This paper examines … whether mispricing exists on the French bond market by constructing arbitrage strategies between these two types of assets. We …

This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …