Inflation Indexing of Government Securities
Author: United States. Congress. Joint Economic Committee. Subcommittee on Trade, Productivity, and Economic Growth
Publisher:
Published: 1985
Total Pages: 96
ISBN-13:
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Author: United States. Congress. Joint Economic Committee. Subcommittee on Trade, Productivity, and Economic Growth
Publisher:
Published: 1985
Total Pages: 96
ISBN-13:
DOWNLOAD EBOOKAuthor: Mr.Robert T. Price
Publisher: International Monetary Fund
Published: 1997-01-01
Total Pages: 70
ISBN-13: 1451842864
DOWNLOAD EBOOKA number of industrialized countries have recently offered inflation-indexed bonds. Some members of another group of countries that had earlier adopted more comprehensive indexation in response to high inflation have taken steps to reduce the scope of indexation in their economies. This paper surveys debt management, monetary policy, and welfare arguments on the use of inflation-indexed bonds, and relates these to the experiences of various issuers. The paper also considers some important design features of indexed bonds.
Author: Mark Deacon
Publisher: Prentice Hall PTR
Published: 1998
Total Pages: 258
ISBN-13:
DOWNLOAD EBOOKThe entry of the USA into the index-linked bond market has heightened the demand for more complex information about these instruments. This text aims to help the readers understand securities, the motivation of both issuers and of investors, and how their value compares to one another.
Author: United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
Publisher:
Published: 1992
Total Pages: 224
ISBN-13:
DOWNLOAD EBOOKAuthor: Mark Deacon
Publisher: John Wiley & Sons
Published: 2004-04-21
Total Pages: 360
ISBN-13: 0470868988
DOWNLOAD EBOOKThe global market for inflation-indexed securities has ballooned in recent years, and this trend is set to continue. This book examines the rationale behind issuance and investment decisions, and details the issues facing anyone who designs indexed securities, illustrating them wherever possible with actual examples from the international capital markets. In particular, an extensive review of indexed debt markets throughout the world is provided - including for the first time, a comprehensive and consistent set of cash flow and price-yield equations for the instruments already in existence in the major bond markets - forming an important reference for those already experienced in the field, as well as practitioners and academics approaching the subject for the first time. The book also provides unique insight into the development of inflation-indexed derivative products, and the analytical tools required to value such instruments.
Author: United States. Congress. Joint Economic Committee. Subcommittee on Trade, Productivity, and Economic Growth
Publisher:
Published: 1985
Total Pages: 91
ISBN-13:
DOWNLOAD EBOOKAuthor: John Brynjolfsson
Publisher: John Wiley & Sons
Published: 1999-02-15
Total Pages: 314
ISBN-13: 9781883249489
DOWNLOAD EBOOKHandbook of Inflation Indexed Bonds provides complete coverage of inflation protection bonds beginning with their first U.S. issuance in 1997. Five, in-depth sections detail: strategic asset allocation; mechanics, valuation, and risk monitoring; global environment; issuers; and investors.
Author: Yukinobu Kitamura
Publisher:
Published: 2004
Total Pages: 50
ISBN-13:
DOWNLOAD EBOOKIn January 1997, the U.S. Treasury started issuing Treasury Inflation-Protection Securities (TIPS; hereafter TIPS and indexed bonds interchangeably) and, as of September 2002, a total of ten issues were being traded on the market, while one issue had already matured. The purpose of this paper is to attempt an evaluation of indexed bonds based on the record of five and a half years of market trading in TIPS, and to present the results as a reference for the issue of similar securities by the Japanese government in the future. The results of this paper are as follows: (1) Real interest rates are relatively stable and remain near the 4% mark. The 30 year bond is even more stable. (2) The expected inflation rate is more closely linked to realized CPI than to the real yield. However, the expected inflation rate is far more stable and its fluctuations smaller. In particular, the 30 year bond is steady, near the 2% mark. (3) While the economic information derived from the 10 year bond is strongly influenced by short-term economic fluctuations, the economic information derived from the 30 year bond is generally unresponsive to short-term economic fluctuations. (4) Examination of the derived information using econometric methods indicates that useful economic information was obtained from the following indexed bonds in the secondary markets: Series Three and Four 10 year bonds. Information included in the expected inflation rate was useful for the Series Three and Four 10 year bonds. Hence, while a total of eleven indexed bonds have been issued, very few of them have proven to be truly useful. These useful bonds turn out to have fair initial conditions, continuous arbitrages with the nominal bonds, and active trades in the secondary markets.
Author: International Monetary Fund
Publisher: International Monetary Fund
Published: 1989-05-18
Total Pages: 38
ISBN-13: 1451973586
DOWNLOAD EBOOKThe IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Author: Mark Deacon
Publisher:
Published: 2003
Total Pages:
ISBN-13:
DOWNLOAD EBOOKBonds with payments linked to the Retail Price Index were first issued in the United Kingdom in 1981 and now account for a significant proportion of the total UK government bond market. This paper discusses various methods by which prices of these indexed bonds can be compared with prices of conventional bonds to infer market expectations of future inflation, and in particular outlines the approach currently used to produce the inflation term structure published in the Bank of England's Inflation Report. There are a number of estimation difficulties - both theoretical and practical - in deriving such term structures and therefore a number of caveats that should be borne in mind when interpreting such measures of expectations.