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Inflation-indexed Securities. Bonds, Swaps and Other Derivatives

We can estimate the expected inflation component of nominal interest rates by calculating the 'break-even inflation rates', which are the difference between the nominal yield on a conventional government bond and the real yield on an inflation-indexed bond of the same maturity. Making sense of international interest rate movements.

Inflation-indexed bonds

An inflation-indexed bond that does not qualify for the coupon bond method e. Using a simple econometric model to proxy for expectations about current and future short-term rates, the authors succeed in replicating some of the observed changes in long-term inflation-indexed bond yields. Editors' summary.

Developing a liquid market for inflation-indexed government securities: lessons from earlier experiences. This regulatory symmetry works well when the rules are applied to either a traditional or an inflation-indexed bond subject to a discount whether arising on original issue or in a subsequent trade.

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Inflation-indexed debt instruments. Inflation-indexed bonds: a primer for finance officers. Treasury inflation-indexed bond , which provides protection against inflation by offering a constant real return for the life of the bond. Information Content of U. Treasury Inflation-Indexed Bonds.

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Treasury inflation-indexed securities

The real price of the one-period inflation-indexed bond can therefore be expressed as Fisher's equation and the inflation risk premium in a simple endowment economy. While TIPS are young compared to inflation-indexed markets in some other countries, data on TIPS now provide researchers with a history spanning over a decade, allowing deeper analysis of fundamental questions in macro-finance, pricing, and risk management.

The conference brings together experts in inflation pricing and hedging, inflation-indexed issuer asset-liability management, and macroeconomics.


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A highlight of the conference will be the panel consisting of leading academics, current and former Federal Reserve and Treasury officials, and practitioners, discussing the welfare implications of inflation-protected securities. Audience The conference is open to academics, market participants, and other researchers in the field of economics. It is closed to the media. Conference ny.


  1. Three Dimensional Facial Sculpting.
  2. Inflation-indexed Securities: Bonds, Swaps and Other Derivatives, 2nd Edition.
  3. GS Inflation Protected Securities Fund.