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Index-Linked Debt and the Real term Styructure: New Estimates and Implications from the U.K. Bond Market

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Author Info

  • Evans, M.D.D.

Abstract

This 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 Info

Paper provided by New York University, Leonard N. Stern School of Business, Department of Economics in its series Working Papers with number 96-09.

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Length: 31 pages
Date of creation: 1996
Date of revision:
Handle: RePEc:ste:nystbu:96-09

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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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Keywords: INTEREST RATE; FINANCIAL MARKET;

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