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

Martin Evans

Working Papers from New York University, Leonard N. Stern School of Business, Department of Economics

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.

Keywords: INTEREST RATE; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: E20 E22 E44 (search for similar items in EconPapers)
Pages: 31 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:ste:nystbu:96-09

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