Index-Linked Debt and the Real term Styructure: New Estimates and Implications from the U.K. Bond Market
AbstractThis paper takes a new look at the market for Index-Linked debt in the U.K.. I begin by clarifying the theoretical links between the observed prices of nominal and index-linked debt, and the term structure of real interest rates. This involves first estimating the "index-linked term structure " which summarizes the information in index-linked bonds. The term structure of real interest rates can then be derived from an asset pricing model estimated from the index-linked and nominal yield curves.
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Bibliographic InfoPaper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number 96-09.
Length: 31 pages
Date of creation: 1996
Date of revision:
Contact details of provider:
Postal: New York University, Leonard N. Stern School of Business, Department of Economics, 44 West 4th Street, New York, NY 10012-1126
Phone: (212) 998-0860
Fax: (212) 995-4218
Web page: http://w4.stern.nyu.edu/economics/
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INTEREST RATE; FINANCIAL MARKET;
Find related papers by JEL classification:
- E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Capital; Investment; Capacity
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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