Journal ArticleDOI
When and Where Is It Cheaper to Issue Inflation-Linked Debt?
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In this paper, the authors compare the direct issuance costs of inflation-linked debt with nominal government debt (the inflation risk premium) in developed countries, and find that lower inflationlinked debt issuance costs are associated with more countercyclical inflation and higher proportions of inflation linked debt.Abstract:
I compare the direct issuance costs of inflation-linked debt (the liquidity premium) with nominal government debt (the inflation risk premium) in developed countries. On average, it is cheaper to issue nominal debt at medium maturities (5-10 years) and inflation-linked debt at long maturities (20 or more years), although results vary somewhat based on whether survey-based or statistical inflation expectations are used. Issuance costs exhibit pronounced time and cross-country variation. Lower inflation-linked debt issuance costs are associated with more countercyclical inflation and higher proportions of inflation-linked debt. International inflation-linked zero-coupon yields are available as an Internet Appendix to this paper.read more
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DatasetDOI
Replication data for: Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Reply
TL;DR: Bauer, Rudebusch, and Wu as discussed by the authors advocate the use of bias-corrected estimations in their comment on Wright (2011) and show that the proposed bias corrected point estimates are less plausible than their maximum-likelihood counterparts.
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The TIPS Liquidity Premium
TL;DR: This article introduced a new arbitrage-free term structure model of nominal and real yields that accounts for liquidity risk in Treasury inflation-protected securities (TIPS) by identifying liquidity risk directly from individual TIPS prices.
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Nominal versus Indexed Debt: A Quantitative Horse Race
Laura Alfaro,Fabio Kanczuk +1 more
TL;DR: In this paper, the main arguments in favor and against nominal and indexed debt are the incentive to default through inflation versus hedging against unforeseen shocks, and they use a dynamic equilibrium model with tax distortion, government outlays uncertainty, and contingent-debt service.
Journal ArticleDOI
International Yield Co-movements
Geert Bekaert,Andrey Ermolov +1 more
TL;DR: The authors decompose long-term nominal bond yields into real and inflation components in an international context using inflation-linked and nominal bonds, and show that real rate variation dominates the variation in inflation linked and nominal yields.
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Who Are These Bond Vigilantes Anyway? The Political Economy of Sovereign Debt Ownership in the Eurozone
TL;DR: In this paper, a Papier untersucht die Frage, wer the Glaubiger des Staates sind, and a vergleichende perspektive auf die vier grosten Volkswirtschaften der Eurozone (Spanien, Frankreich, Deutschland, Italy, and Spain) is presented.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
Journal ArticleDOI
Spurious regressions in econometrics
Clive W. J. Granger,P. Newbold +1 more
TL;DR: In this paper, it is pointed out that it is very common to see reported in applied econometric literature time series regression equations with an apparently high degree of fit, as measured by the coefficient of multiple correlation R2 or the corrected coefficient R2, but with an extremely low value for the Durbin-Watson statistic.
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
John C. Driscoll,Aart Kraay +1 more
TL;DR: The authors presented conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large.