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Policy Watch: The Introduction of Indexed Government Debt in the United States

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  • David W. Wilcox

Abstract

This article describes the early phases of the development of the market for indexed government debt in the United States. The first such bonds were issued in 1997--one set with a maturity of ten years, the other with a maturity of five years. In the wake of the Treasury issuance, several non-Treasury borrowers have issued indexed debt and several new index-linked products for retail customers have been introduced. As expected, the new indexed notes have 'outperformed' conventional nominal notes in the secondary markets for Treasury debt when bad news has become available about inflation and conversely.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jep.12.1.219
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Bibliographic Info

Article provided by American Economic Association in its journal Journal of Economic Perspectives.

Volume (Year): 12 (1998)
Issue (Month): 1 (Winter)
Pages: 219-227

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Handle: RePEc:aea:jecper:v:12:y:1998:i:1:p:219-27

Note: DOI: 10.1257/jep.12.1.219
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  1. Brown, Roger H. & Schaefer, Stephen M., 1994. "The term structure of real interest rates and the Cox, Ingersoll, and Ross model," Journal of Financial Economics, Elsevier, vol. 35(1), pages 3-42, February.
  2. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Working Papers 5587, National Bureau of Economic Research, Inc.
  3. David G. Barr & John Y. Campbell, 1996. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices," NBER Working Papers 5821, National Bureau of Economic Research, Inc.
  4. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Data," Harvard Institute of Economic Research Working Papers 1758, Harvard - Institute of Economic Research.
  5. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
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Cited by:
  1. Bar-Ilan, Avner & Seidmann, Daniel J., 2006. "Endogenous contract structure and monetary policy," European Economic Review, Elsevier, vol. 50(4), pages 1043-1060, May.
  2. Peters, David W., 2007. "The behavior of government of Canada real return bond returns," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 152-171.
  3. Brian Sack & Robert Elsasser, 2004. "Treasury inflation-indexed debt: a review of the U.S. experience," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 47-63.

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