IDEAS home Printed from https://ideas.repec.org/p/ste/nystbu/96-09.html
   My bibliography  Save this paper

Index-Linked Debt and the Real term Styructure: New Estimates and Implications from the U.K. Bond Market

Author

Listed:
  • Evans, M.D.D.

Abstract

This paper takes a new look at the market for Index-Linked debt in the U.K.. I begin by clarifying the theoretical links between the observed prices of nominal and index-linked debt, and the term structure of real interest rates. This involves first estimating the "index-linked term structure " which summarizes the information in index-linked bonds. The term structure of real interest rates can then be derived from an asset pricing model estimated from the index-linked and nominal yield curves.

Suggested Citation

  • Evans, M.D.D., 1996. "Index-Linked Debt and the Real term Styructure: New Estimates and Implications from the U.K. Bond Market," Working Papers 96-09, New York University, Leonard N. Stern School of Business, Department of Economics.
    • Handle: RePEc:ste:nystbu:96-09
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Keywords

    INTEREST RATE; FINANCIAL MARKET;

    JEL classification:

    • E20 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - General (includes Measurement and Data)
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

    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:ste:nystbu:96-09. 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: Amanda Murphy (email available below). General contact details of provider: https://edirc.repec.org/data/ednyuus.html .

    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.