IDEAS home Printed from https://ideas.repec.org/a/anr/refeco/v15y2023p449-471.html
   My bibliography  Save this article

Inflation-Adjusted Bonds, Swaps, and Derivatives

Author

Listed:
  • Robert A. Jarrow

    (Samuel Curtis Johnson Graduate School of Management, Cornell University, Ithaca, New York, USA)

  • Yildiray Yildirim

    (Zicklin School of Business, Baruch College, The City University of New York (CUNY), New York, NY, USA)

Abstract

The purpose of this article is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in the extended model are real and nominal prices. Currently, for their use in monetary policy, the empirical literature primarily uses these models to estimate both the expected inflation rate and the inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison of the relevant valuation models is almost nonexistent and a fruitful area for future research.

Suggested Citation

  • Robert A. Jarrow & Yildiray Yildirim, 2023. "Inflation-Adjusted Bonds, Swaps, and Derivatives," Annual Review of Financial Economics, Annual Reviews, vol. 15(1), pages 449-471, November.
    • Handle: RePEc:anr:refeco:v:15:y:2023:p:449-471
    DOI: 10.1146/annurev-financial-110921-110855
    as

    Download full text from publisher

    File URL: https://doi.org/10.1146/annurev-financial-110921-110855
    Download Restriction: Full text downloads are only available to subscribers. Visit the abstract page for more information.
    File URL: https://libkey.io/10.1146/annurev-financial-110921-110855?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    inflation-indexed bonds; inflation swaps; inflation derivatives; HJM model; term structure of interest rates; break-even inflation rate;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:anr:refeco:v:15:y:2023:p:449-471. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: http://www.annualreviews.org (email available below). General contact details of provider: http://www.annualreviews.org .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.