Indexed Bonds And Monetary Policy

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The Rationale And Design Of Inflation Indexed Bonds

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Author : Mr.Robert T. Price
language : en
Publisher: International Monetary Fund
Release Date : 1997-01-01

The Rationale And Design Of Inflation Indexed Bonds written by Mr.Robert T. Price and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-01 with Business & Economics categories.

A number of industrialized countries have recently offered inflation-indexed bonds. Some members of another group of countries that had earlier adopted more comprehensive indexation in response to high inflation have taken steps to reduce the scope of indexation in their economies. This paper surveys debt management, monetary policy, and welfare arguments on the use of inflation-indexed bonds, and relates these to the experiences of various issuers. The paper also considers some important design features of indexed bonds.

Indexed Bonds And Monetary Policy

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Author : Yukinobu Kitamura
language : en
Publisher:
Release Date : 1996

Indexed Bonds And Monetary Policy written by Yukinobu Kitamura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Bonds categories.

Inflation Indexed Treasury Debt As An Aid To Monetary Policy

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Author : United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee
language : en
Publisher:
Release Date : 1992

Inflation Indexed Treasury Debt As An Aid To Monetary Policy written by United States. Congress. House. Committee on Government Operations. Commerce, Consumer, and Monetary Affairs Subcommittee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business & Economics categories.

Indexed Bonds And Monetary Policy The Real Interest Rate And The Expected Rae Of Inflation

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Author : Yukinobu Kitamura
language : en
Publisher:
Release Date : 1996

Indexed Bonds And Monetary Policy The Real Interest Rate And The Expected Rae Of Inflation written by Yukinobu Kitamura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.

Markets For Inflation Indexed Securities As Mechanisms For Efficient Monetary Policy

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Author : Christian-Oliver Ewald
language : en
Publisher:
Release Date : 2012

Markets For Inflation Indexed Securities As Mechanisms For Efficient Monetary Policy written by Christian-Oliver Ewald and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

We consider a continuous time framework featuring a central bank, private agents and a financial market. The central bank's objective is to maximize a functional, which measures the classical trade-off between output and inflation over time plus income from the sales of inflation indexed bonds minus payments for the liabilities that the inflation indexed bonds produce at maturity. Private agents are assumed to have adaptive expectations. The financial market is modeled in continuous time Black-Scholes-Merton style and financial agents are averse against inflation risk, attaching an inflation risk premium to nominal bonds. Following this route, we explain demand for inflation indexed securities on the financial market from a no-arbitrage assumption and derive pricing formulas for inflation linked bonds and calls, which lead to a supply-demand equilibrium. Furthermore, we study the consequences that the sales of inflation indexed securities have on the observed inflation rate and price level. Similar as in Walsh (1995) we find that the inflationary bias is significantly reduced, and hence that markets for inflation indexed bonds provide a mechanism to reduce inflationary bias and increase central bank's credibility.

Reviving The Case For Gdp Indexed Bonds

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Author : Mr.Eduardo Borensztein
language : en
Publisher: International Monetary Fund
Release Date : 2002-09-01

Reviving The Case For Gdp Indexed Bonds written by Mr.Eduardo Borensztein and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-09-01 with Business & Economics categories.

This paper seeks to revive the case for countries to self-insure against economic growth slowdowns by issuing GDP-indexed bonds. We simulate the effects of GDP-indexed bonds under different assumptions about fiscal policy reaction functions and their output effects and find that they could substantially reduce the likelihood that debt/GDP paths become explosive. The insurance premium would likely be small, because cross-country comovement of GDP growth rates is low and cross-country GDP growth risk is thus largely diversifiable for an investor holding a portfolio of GDP-indexed bonds. Potential obstacles to the emergence of a market for these bonds include the verifiability of GDP data, the trade-off between insurance and moral hazard, and the need for liquidity. The paper discusses institutional fixes and suggests an approach to attempting to start up a market.

Monetary Policy And The Information Content Of Index Bond Prices

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Author : John F. Boschen
language : en
Publisher:
Release Date : 1982

Monetary Policy And The Information Content Of Index Bond Prices written by John F. Boschen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with categories.

Index Linked Government Bonds And The Efficiency Of Monetary Policy

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Author : Paul Beckerman
language : en
Publisher:
Release Date : 1978

Index Linked Government Bonds And The Efficiency Of Monetary Policy written by Paul Beckerman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Bonds categories.

Optimal Indexation Of Government Bonds And Monetary Policy

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Author : Michael C. Hatcher
language : en
Publisher:
Release Date : 2011

Optimal Indexation Of Government Bonds And Monetary Policy written by Michael C. Hatcher and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Using an overlapping generations model in which the young save for old age using indexed and nominal government bonds, this paper investigates how optimal indexation is influenced by monetary policy. In order to do so, two monetary policies with markedly different long run implications are examined: inflation targeting and price-level targeting. Optimal indexation differs significantly under the two regimes. Under inflation targeting, long-term inflation uncertainty is substantial due to base-level drift in the price level. Nominal bonds are thus a poor store of value and optimal indexation is relatively high (76 per cent). With price-level targeting, by contrast, long-term inflation uncertainty is minimal because the price level is trend-stationary. This makes nominal bonds a better store of value compared to indexed bonds, reducing optimal indexation somewhat (26 per cent). Importantly for these results, the model captures two imperfections of indexation (indexation bias and lagged indexation) that are calibrated to the UK case. -- optimal indexation ; government bonds ; inflation targeting ; price-level targeting

The Ties That Bind

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Author : Tamim A. Bayoumi
language : en
Publisher: International Monetary Fund
Release Date : 2007

The Ties That Bind written by Tamim A. Bayoumi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.

This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United Kingdom. The analysis starts in 2002, by which point U.S. inflation-indexed markets were fully mature. Real bond yields are found to be closely linked across countries, with developments in U.S. markets determining around half of real foreign yields and no evidence of spillovers back to the United States. Spillovers in inflation expectations are smaller and the direction of causation is less clear.