Index-linked Debt

Research papers on index-linked debt

 

The global market for inflation-indexed securities has grown markedly in recent years and as a consequence the amount of research produced has also increased. The following list details a number of papers on inflation-indexed debt.

  • Anderson, N. & Sleath, J. (2001) New estimates of the UK real and nominal yield curves Bank of England Working Paper No.126 (March).
  • Ang, A., Bekaert, G. & Wei (2008) The Term Structure of Real Rates and Expected Inflation The Journal of Finance Volume 63, No.2 (April) pp 797-849.
  • Arak, M. & Kreicher, L. (1985) The real rate of interest: inferences from the new UK indexed gilts International Economic Review Volume 26, No.2 (June) pp 399-408.
  • Bach, G.L. & Musgrave, R.A. (1941) A Stable Purchasing Power Bond American Economic Review Volume 31 (December) pp 823-35.
  • Baer, W. & Beckerman, P. (1980) The Trouble with Index-Linking: Reflections on the Recent Brazilian Experience World Development Volume 8 pp 677-703.
  • Barr, D.G. & Pesaran, B.P. (1995) An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds Bank of England Working Paper No.32 (April).
  • Bodie, Z. (1990) Inflation, index-linked bonds, and asset allocation Journal of Portfolio Management Volume 16, No.2 (Winter) pp 48-53.
  • Boshen, J.F. & Newman, J.L. (1987) The effects of expected inflation on real returns in the Argentine indexed bond market Economic Letters Volume 25 pp 137-142.
  • Branion, A. (1995) The Government of Canada bond market since 1980 Bank of Canada Review (Autumn) pp 3-21.
  • Breedon, F.J. & Chadha, J. (1997) The Information Content of the Inflation Term Structure Bank of England Working Paper No.75 (December).
  • Brown, E.T. (1998) The Inflation Risk Premium - Returns on Inflation-Indexed and Nominal British Government Bonds Norwegian School of Management Master of Science Thesis - Financial Economics (3 April).
  • Brown, R.H. & Schaefer, S.M. (1994) The term structure of real interest rates and the Cox, Ingersoll, and Ross model Journal of Financial Economics Volume 35, No.1 (February) pp 3-42.
  • Cairns, A.J.G. (1998) Descriptive bond-yield and forward-rate models for the British government securities' market British Actuarial Journal Volume 4, No.2 pp 265-321 and 350-383.
  • Campbell, J.Y. & Shiller, R.J. (1996) A Scorecard for Indexed Government Debt Harvard Institute of Economic Research Discussion Paper No.1758 (May).
  • Central Bank of Iceland (1991) Financial Indexation in Iceland Economic Statistics Quarterly Volume 12, No.2 (May).
  • Central Bank of Iceland (1995) Changes in the Indexation Regime Economic Statistics Quarterly (February).
  • Chu, Q.C., Lee, C.F. & Pittman, D.N. (1995) On the inflation risk premium Journal of Business, Finance & Accounting Volume 22, No.6 (September) pp 881-892.
  • Côté, A., Jacob, J., Nelmes, J. & Whittingham, M. (1996) Inflation expectations and Real Return Bonds Bank of Canada Review (Summer) pp 41-53.
  • D'Amico,S., Kim,D. & Wei, M. (2008) Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices Bank for International Settlements Working Paper No.248 (March).
  • Deacon, M.P. & Andrews, B.P.A. (1996) The Use and Value of Index-Linked Bonds The Financier: Analyses of Capital and Money Market Transactions Volume 3, No.4&5 (November/December).
  • Deacon, M.P. & Derry, A.J. (1994a) Deriving Estimates of Inflation Expectations from the Prices of UK Government Bonds Bank of England Working Paper No.23 (July).
  • Deacon, M.P. & Derry, A.J. (1994b) Estimating the Term Structure of Interest Rates Bank of England Working Paper No.24 (July).
  • de Kock, G. (1991) Expected Inflation and Real Interest Rates Based on Index-Linked Bond Prices: The UK Experience Federal Reserve Bank of New York Quarterly Review (Autumn) pp 47-60.
  • Duenwald, C. (1993) British Index-Linked Government Bonds: A Preliminary Assessment of Implicit Inflation Forecasts Bank of Canada mimeo (20 August).
  • Evans, M.D.D. (1997) Index-Linked Debt and the Real Term Structure: New Estimates and Implications from the UK mimeo (March).
  • Fischer, S. (1975) The demand for index bonds Journal of Political Economy Volume 83, No.3 (June) pp 509-534.
  • Fisher, W.C. (1913) The Tabular Standard in Massachusetts History Quarterly Journal of Economics Volume 27 (May) pp 417-455.
  • Frankel, J. (1982) A technique for extracting a measure of expected inflation from the interest rate term structure Review of Economics and Statistics Volume 64, No.1 (February) pp 135-42.
  • Friedman, M. (1974) Using Escalators to Help Fight Inflation Fortune (July) pp 94-7 and 174-76.
  • Gilbert, C.L. (1995) Alternative Models for Estimating Real Interest Rates and Expected Inflation from UK Index-Linked Bonds Queen Mary and Westfield College Draft Discussion Paper (November).
  • Gong, F.F. & Remolona, E.M. (1996) Inflation Risk in the US Yield Curve: The Usefulness of Indexed Bonds Federal Reserve Bank of New York Research Paper No.9637 (November).
  • Hallsten, K. (1993) Government Indexed Bonds Sveriges Riksbank Quarterly Review No.3.
  • Hammond, P.B. (2002) Understanding and Using Inflation Bonds TIAA-CREF Institute Research Dialogue Issue 73 - September 2002.
  • Heenan, G. (1991) Measures of Expected Inflation Reserve Bank of Australia Bulletin (April).
  • Hetzel, R.L. (1992) Indexed Bonds as an Aid to Monetary Policy Federal Reserve Bank of Richmond Economic Review Volume 78, No.1 (January/February) pp 13-23.
  • HMT (1981) Indexed Gilts Economic Progress Report No.133 (May) pp 1-2.
  • Holland, A. & Mulder, C. (2006) The Role of Inflation-indexed Debt in Developing Local Currency Markets Financial Dollarization: The Policy Agenda edited by A. Armas, A. Ize and E. Levy Yeyati, London: Palgrave.
  • Horrigan, B.R. (1987) The CPI Futures Market: The Inflation Hedge That Won't Grow Federal Reserve Bank of Philadelphia Business Review (May/June) pp 3-14.
  • Huang, H-C., and Cairns, A.J.G., (2002) Valuation and Hedging of LPI Liabilities.
  • Huberman, G. & Schwert, G.W. (1985) Information Aggregation, Inflation, and the Pricing of Indexed Bonds Journal of Political Economy Volume 93, No.1 pp 92-114.
  • Hunter, D.M. & Simon, D.P. (2002) Are TIPS the "Real" Deal?: A Conditional Assessment of their Role in a Nominal Portfolio University of South Florida and Bentley College mimeo (1 July).
  • Jarrow, R. & Yildirim, Y. (2001) Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model Cornell University and Syracuse University mimeo (30 October).
  • Juday, DM (1993) Indexed Bonds and the Deficit Journal of Commerce (8 July).
  • Kandel, S., Ofer, A.R. & Sarig, O. (1996) Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis Journal of Finance Volume 51, No.1 (March) pp 205-225.
  • Kitamura, Y. (1997) Indexed Bonds and Monetary Policy: The Real Interest Rate and the Expected Rate of Inflation Bank of Japan Monetary and Economic Studies (May).
  • Levin, E.J. & Copeland, L.S. (1993) Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium Basil Blackwell Ltd and the Victoria University of Manchester.
  • McCulloch, J.H. (1980) The Ban on Indexed Bonds, 1933-77 American Economic Review Volume 70, No.5 (December) pp 1018-21.
  • Mendoza, E.G. & Fernández, F. (1994) Monetary Transmission and Financial Indexation: Evidence from the Chilean Economy IMF Paper on Policy Analysis and Assessment 94/17 (August).
  • Munnell, A.H. & Grolnic, J.B. (1986) Should the US Government Issue Index Bonds? Federal Reserve Bank of New England Economic Review (September/October) pp 3-21.
  • Page, S.A.B. & Trollope, S. (1974) An International Survey of Indexing and its Effects National Institute Economic Review No.70 (November) pp 46-60.
  • Price, R. (1997) The Rationale and Design of Inflation-Indexed Bonds International Monetary Fund Working Paper 97/12 (January).
  • Ragan, C. (1995) Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates Bank of Canada Working Paper 95-1 (January).
  • Reschreiter, A. (2004) Conditional funding costs of inflation-indexed and conventional government bonds Journal of Banking and Finance Volume 28 (June) pp 1299-1318.
  • Reschreiter, A. (2008) Lower borrowing costs with inflation-indexed bonds: A trading rule based assessment Economics Letters Volume 99 (May) pp 272-274.
  • Robertson, D. & Symons, J. (1992) Five weeks in the life of the pound: interest rates, expectations and sterling's exit from the ERM Centre for Economic Forecasting, London Business School, Discussion Paper No.DP 28-92 (December).
  • Robertson, D. & Symons, J. (1993) Real Interest Rates and Index-Linked Gilts Centre for Economic Performance, LSE, Discussion Paper No.181 (November).
  • Rutterford, J. (1983) Index-Linked Gilts National Westminster Bank Quarterly Review (November).
  • Sack, B. (2000) Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields Federal Reserve Board mimeo (May 16).
  • Scarborough, R.H. (1996) Inflation-Indexed Bonds May Lead to New Derivatives: Tax Regulation Finance (November/December) pp 83-87.
  • Shen, P. (1995) Benefits and Limitations of Inflation Indexed Treasury Bonds Federal Reserve Bank of Kansas City Economic Review (Third Quarter) pp 41-56.
  • Shen P. & Corning, J. (2001) Can TIPS Help Identify Long-Term Inflation Expectations? Federal Reserve Bank of Kansas City Economic Review (Fourth Quarter).
  • Spiro, P.S. (2003) Evidence on inflation expectations from Canadian real return bonds Macroeconomic Analysis and Policy Branch, Ontario Ministry of Finance (July).
  • Weiner, S.E. (1983) Why Are So Few Financial Assets Indexed to Inflation? Federal Reserve Bank of Kansas City Economic Review (May) pp 3-18.
  • Wilcox, D. & Zervos, D. (1994) Extracting Real Interest Rates and Inflation Expectations from the UK Gilt Market Federal Reserve Board mimeo (October).
  • Wilkie, A D. (1984) On the Calculation of "Real" Investment Returns from the Journal of the Institute of Actuaries.
  • Woodward, G.T. (1988) Comment: The real rate of interest: Inferences from the new UK indexed gilts International Economic Review Volume 29, No.3 (August) pp 565-68.
  • Woodward, G.T. (1990) The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-1989 Journal of Business Volume 63, No.3 pp 373-98.
  • Yariv, D. (1994) Market-based inflationary expectations as an indicator for monetary policy: the case of Israel Bank of Israel mimeo.