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Conditional funding costs of inflation-indexed and conventional government bonds

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  • Reschreiter, Andreas

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  • Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1299-1318, June.
    • Handle: RePEc:eee:jbfina:v:28:y:2004:i:6:p:1299-1318
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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Martin D. D. Evans, 1998. "Real Rates, Expected Inflation, and Inflation Risk Premia," Journal of Finance, American Finance Association, vol. 53(1), pages 187-218, February.
    3. Bell, David N.F. & Levin, Eric J. & Wright, Robert E., 1997. "Indexed Bonds, Expected Inflation and Tax Clientele Bias," National Tax Journal, National Tax Association, vol. 50(2), pages 315-20, June.
    4. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
    5. Mr. Robert T Price, 1997. "The Rationale and Design of Inflation-Indexed Bonds," IMF Working Papers 1997/012, International Monetary Fund.
    6. Gibbons, Michael R. & Ferson, Wayne, 1985. "Testing asset pricing models with changing expectations and an unobservable market portfolio," Journal of Financial Economics, Elsevier, vol. 14(2), pages 217-236, June.
    7. John Y. Campbell & Robert J. Shiller, 1996. "A Scorecard for Indexed Government Debt," NBER Chapters, in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208, National Bureau of Economic Research, Inc.
    8. Frank F. Gong & Eli M. Remolona, 1996. "Inflation risk in the U.S. yield curve: the usefulness of indexed bonds," Research Paper 9637, Federal Reserve Bank of New York.
    9. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
    10. LuisM. Viceira & John Y. Campbell, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March.
    11. Eric J. Levin & Robert E. Wright, 2001. "Tax Clientele Effects in the Term Structure of UK Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(3‐4), pages 303-325, April.
    12. Evans, Martin D D, 1994. "Expected Returns, Time-Varying Risk, and Risk Premia," Journal of Finance, American Finance Association, vol. 49(2), pages 655-679, June.
    13. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    14. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    15. Marcello de Cecco & Lorenzo Pecchi & Gustavo Piga (ed.), 1997. "Managing Public Debt," Books, Edward Elgar Publishing, number 1172.
    16. Eric J. Levin & Robert E. Wright, 2001. "Tax Clientele Effects in the Term Structure of UK Interest Rates," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 28(3-4), pages 303-325.
    17. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-349, July.
    18. Bell, David N.F. & Levin, Eric J. & Wright, Robert E., 1997. "Indexed Bonds, Expected Inflation and Tax Clientele Bias," National Tax Journal, National Tax Association;National Tax Journal, vol. 50(2), pages 315-320, June.
    19. Kandel, Shmuel & Ofer, Aharon R & Sarig, Oded, 1996. "Real Interest Rates and Inflation: An Ex-Ante Empirical Analysis," Journal of Finance, American Finance Association, vol. 51(1), pages 205-225, March.
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    Cited by:

    1. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    2. Andreas Reschreiter, 2010. "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, vol. 6(4), pages 537-554, October.
    3. Andreas Reschreiter, 2010. "The inflation protection from indexed bonds," Applied Economics Letters, Taylor & Francis Journals, vol. 17(16), pages 1581-1585.
    4. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1), pages 754-759.
    5. Reschreiter, Andreas, 2008. "Lower borrowing costs with inflation-indexed bonds: A trading rule based assessment," Economics Letters, Elsevier, vol. 99(2), pages 272-274, May.
    6. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
    7. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.
    8. Reschreiter, Andreas, 2011. "The effects of the monetary policy regime shift to inflation targeting on the real interest rate in the United Kingdom," Economic Modelling, Elsevier, vol. 28(1-2), pages 754-759, January.
    9. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Occasional Papers 0705, Banco de España.

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