Index-Linked Debt and the Real term Styructure: New Estimates and Implications from the U.K. Bond Market
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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|Date of creation:||1996|
|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
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Web page: http://w4.stern.nyu.edu/economics/
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