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    Inflation-Indexed Bonds

    A summary of my research on inflation-indexed bonds that I have written for the NBER Reporter. View Details
    • Article

    Inflation-Indexed Bonds and the Expectations Hypothesis

    By: Carolin E. Pflueger and Luis M. Viceira
    This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the... View Details
    Keywords: TIPS; Breakeven Inflation; Return Predictability; Bond Risk Premia; Risk Management; Bonds; Financial Liquidity; Inflation and Deflation; United Kingdom; United States
    Related
    • Article

    Understanding Inflation-Indexed Bond Markets

    By: John Y. Campbell, Robert J. Shiller and Luis M. Viceira
    Keywords: Bonds; Markets; Inflation and Deflation; Financial Crisis
    Related
    • 27 May 2011
    • Working Paper Summaries

    An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds

    Keywords: by Carolin E. Pflueger & Luis M. Viceira
    • 2013
    • Working Paper

    Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

    By: Carolin E. Pflueger and Luis M. Viceira
    Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence... View Details
    Keywords: Expectations Hypothesis; Term Structure; Real Interest Rate Risk; Inflation Risk; Inflation-Indexed Bonds; Financial Crisis; Inflation and Deflation; Financial Liquidity; Bonds; Investment Return; Risk and Uncertainty; United Kingdom; United States
    Related
    • January 2004 (Revised June 2004)
    • Case

    Innovation at the Treasury: Treasury Inflation-Protection Securities (A)

    By: Kenneth A. Froot, Peter A. Hecht and Christopher Edward James Payton
    In 1997, the U.S. Treasury was deciding whether to proceed with a proposal to issue inflation-indexed bonds. This case explores the challenges facing innovation in the financial markets as the Treasury tries to determine whether to introduce Treasury... View Details
    Keywords: Inflation; Innovation; Federal Government; Securities; Debt Securities; Risk Management; Bonds; Investment Portfolio; Capital Markets; Inflation and Deflation; Government and Politics; Innovation and Invention; United States
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    • 22 Mar 2011
    • First Look

    First Look: March 22

    explicitly considering counterfactual histories had the innovations never been invented or adopted. Download the paper: http://papers.nber.org/papers/w16780 An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed... View Details
    Keywords: Sean Silverthorne
    • 01 Mar 2009
    • News

    Just Keep Our Money

    ask for IOUs in the form of savings bonds instead. In 2007, the federal government distributed tax refunds exceeding $248 billion to more than 114 million filers. Businesses have long capitalized on these refund dollars, which average... View Details
    Keywords: Peter Tufano; Funds, Trusts, and Other Financial Vehicles; Finance; Administration of Economic Programs; Government
    • 07 May 2013
    • First Look

    First Look: May 7

    decomposes excess return predictability in U.S. and U.K. inflation-indexed and nominal government bonds. We find that nominal bonds reflect time-varying inflation and real rate risk premia, while View Details
    Keywords: Carmen Nobel
    • 30 Jun 2009
    • First Look

    First Look: June 30

    perturbation enables efficient exploration in the midst of intense exploitation. Download the paper: http://www.hbs.edu/research/pdf/09-011.pdf Understanding Inflation-Indexed Bond Markets Authors:John Y.... View Details
    Keywords: Martha Lagace
    • 10 Jan 2012
    • First Look

    First Look: January 10

    person in need, which, in turn, increased intentions to help. Inflation-Indexed Bonds and the Expectations Hypothesis Authors:Carolin E. Pflueger and Luis M. Viceira Publication:Annual Review of Financial... View Details
    Keywords: Sean Silverthorne
    • 08 Oct 2013
    • First Look

    First Look: October 8

    differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. View Details
    Keywords: Sean Silverthorne