IDEAS home Printed from https://ideas.repec.org/a/eee/revfin/v14y2005i1p47-60.html
   My bibliography  Save this article

The nominal duration of TIPS bonds

Author

Listed:
  • Laatsch, Francis E.
  • Klein, Daniel P.

Abstract

No abstract is available for this item.

Suggested Citation

  • Laatsch, Francis E. & Klein, Daniel P., 2005. "The nominal duration of TIPS bonds," Review of Financial Economics, Elsevier, vol. 14(1), pages 47-60.
    • Handle: RePEc:eee:revfin:v:14:y:2005:i:1:p:47-60
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1058-3300(04)00019-9
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-282, June.
    2. Agathe Côté & Jocelyn Jacob & John Nelmes & Miles Whittingham, 1996. "Inflation expectations and Real Return Bonds," Bank of Canada Review, Bank of Canada, vol. 1996(Summer), pages 41-53.
    3. Jonathan Corning & Pu Shen, 2001. "Can TIPS help identify long-term inflation expectations?," Economic Review, Federal Reserve Bank of Kansas City, vol. 86(Q IV), pages 61-87.
    4. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 266-276, June.
    5. Mishkin, Frederic S, 1995. "Nonstationarity of Regressors and Tests on Real-Interest-Rate Behavior," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 47-51, January.
    6. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021. "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, vol. 9(4), pages 1-28, March.
    2. Spyros Papathanasiou & Dimitris Kenourgios & Drosos Koutsokostas & Georgios Pergeris, 2023. "Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19," Journal of Asset Management, Palgrave Macmillan, vol. 24(3), pages 198-211, May.
    3. Plantinga, Auke, 2006. "Performance measurement for pension funds," Research Report 06E10, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    4. repec:dgr:rugsom:06e10 is not listed on IDEAS
    5. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Francis E. Laatsch & Daniel P. Klein, 2005. "The nominal duration of TIPS bonds," Review of Financial Economics, John Wiley & Sons, vol. 14(1), pages 47-60.
    2. Harun UCAK & Ilhan OZTURK & Alper ASLAN, 2014. "An Examination of Fisher Effect for Selected New EU Member States," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 956-959.
    3. Anari, Ali & Kolari, James, 2016. "Dynamics of interest and inflation rates," Journal of Empirical Finance, Elsevier, vol. 39(PA), pages 129-144.
    4. Anari, Ali & Kolari, James, 2019. "The Fisher puzzle, real rate anomaly, and Wicksell effect," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 128-148.
    5. Laatsch, Francis E. & Klein, Daniel P., 2003. "Nominal rates, real rates, and expected inflation: Results from a study of U.S. Treasury Inflation-Protected Securities," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 405-417.
    6. Uddin, Gazi Salah & Alam, Md. Mahmudul & Alam, Kazi Ashraful, 2019. "An Empirical Evidence of Fisher Effect in Bangladesh: A Time-Series Approach," SocArXiv udpwj, Center for Open Science.
    7. Martin Ruzima & Micheal Kofi Boachie & Tatjana Põlajeva & Abdul-Aziz Iddrisu, 2023. "Does the Fisher effect hold in Rwanda?," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2657-2672, June.
    8. Noor Ghazali & Shamshubariah Ramlee, 2003. "A long memory test of the long-run Fisher effect in the G7 countries," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 763-769.
    9. Utku ALTUNÖZ, 2018. "Investigating the Presence of Fisher Effect for the China Economy," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    10. Kate Phylaktis & David Blake, 1993. "The fisher hypothesis: Evidence from three high inflation economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 129(3), pages 591-599, September.
    11. Caporale, Guglielmo Maria & Gil-Alaña, Luis, 2019. "Testing the Fisher hypothesis in the G-7 countries using I(d) techniques," International Economics, Elsevier, vol. 159(C), pages 140-150.
    12. Ira Saltz & Pat Cantrell & Joseph Horton, 2002. "Does the Aggregate Demand Curve Suffer from the Fallacy of Composition?," The American Economist, Sage Publications, vol. 46(1), pages 61-65, March.
    13. Christopher J. Neely & David E. Rapach, 2008. "Real interest rate persistence: evidence and implications," Review, Federal Reserve Bank of St. Louis, vol. 90(Nov), pages 609-642.
    14. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
    15. James R. Rhodes, 2006. "DEVOLUTION OF THE FISHER EQUATION: Rational Appreciation to Money Illusion," GRIPS Discussion Papers 08-04, National Graduate Institute for Policy Studies, revised Jun 2008.
    16. Ka-Fu Wong & Hai-Jun Wu, 2003. "Testing Fisher hypothesis in long horizons for G7 and eight Asian countries.1," Applied Economics Letters, Taylor & Francis Journals, vol. 10(14), pages 917-923.
    17. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    18. Radó, Márk, 2003. "Infláció, tőkeköltség és a magyar tulajdonosok versenyhátránya [Inflation, capital costs and the competitive disadvantage of Hungarian owners]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 964-987.
    19. Booth, G. Geoffrey & Ciner, Cetin, 2001. "The relationship between nominal interest rates and inflation: international evidence," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 269-280, July.
    20. Sharon Kozicki & P. A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Staff Working Papers 06-46, Bank of Canada.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:revfin:v:14:y:2005:i:1:p:47-60. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620170 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.