Inflation risk and the inflation risk premium
G Bekaert, X Wang - Economic policy, 2010 - academic.oup.com
This article starts by discussing the concept of 'inflation hedging'and provides estimates of
'inflation betas' for standard bond and well-diversified equity indices for over 45 countries …
'inflation betas' for standard bond and well-diversified equity indices for over 45 countries …
Inflation-linked bonds from a central bank perspective
JA Garcia, AA van Rixtel - ECB Occasional Paper, 2007 - papers.ssrn.com
Inflation-linked bond markets have experienced significant growth in recent years. This
growth is somewhat surprising, for inflation-linked bonds cannot be considered a financial …
growth is somewhat surprising, for inflation-linked bonds cannot be considered a financial …
The inflation-indexed bond puzzle
M Fleckenstein - Available at SSRN 2180251, 2013 - papers.ssrn.com
This paper presents new insights into the dynamics and determinants of arbitrage mispricing
in and across seven of the world's largest and most liquid financial markets. Specifically, this …
in and across seven of the world's largest and most liquid financial markets. Specifically, this …
TIPS, inflation expectations, and the financial crisis
The authors show that inefficiencies in the US market for inflation-linked bonds can be
exploited by informed traders who include survey estimates or inflation model forecasts in …
exploited by informed traders who include survey estimates or inflation model forecasts in …
TIPS and inflation expectations
F Bardong, T Lehnert - Applied Economics Letters, 2008 - Taylor & Francis
Previous research suggests that the market for index-linked bonds is not entirely efficient
and that these inefficiencies can be exploited by including inflation forecasts in trades on …
and that these inefficiencies can be exploited by including inflation forecasts in trades on …
Simulating historical inflation-linked bond returns
L Swinkels - Journal of Empirical Finance, 2018 - Elsevier
Empirical research on the benefits of investing in inflation-linked bonds usually relies on a
limited number of observations due to the relatively recent introduction of these assets. We …
limited number of observations due to the relatively recent introduction of these assets. We …
[PDF][PDF] An analysis of fixed income BRICS markets
S Ortobelli, F Petronio - … of Firms and Financial Institutions, Ostrava, 2015 - aisberg.unibg.it
In this paper, we examine the performance of the BRICS bond markets, trying to evaluate
whether these markets can represent a profitable investment for non-satiable and risk …
whether these markets can represent a profitable investment for non-satiable and risk …
Market bond products
G Consigli - World Scientific Book Chapters, 2013 - ideas.repec.org
The following sections are included: The Covered Bond MarketIntroductionBasic
featuresMarket evolutionPrimary marketSecondary marketCovered bonds in the sovereign …
featuresMarket evolutionPrimary marketSecondary marketCovered bonds in the sovereign …
Term structure of interest rates models, nominal government debt and inflation-protected securities
O Pakulyak - 2019 - theses.fr
This thesis analyzes the term structure of interest rates, the debt management and inflation-
protected securities. The analysis is conducted through three empirical studies. These …
protected securities. The analysis is conducted through three empirical studies. These …
Asset Pricing, Slow-Moving Capital, Monetary Policy, and Inflation
M Fleckenstein - 2013 - escholarship.org
This dissertation focuses on a major challenge to neoclassical asset pricing theory-the
existence of persistent arbitrage mispricing in financial markets. Many scholars, eg Liu and …
existence of persistent arbitrage mispricing in financial markets. Many scholars, eg Liu and …