Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/101091
Authors: 
Auckenthaler, Julia
Kupfer, Alexander
Sendlhofer, Rupert
Year of Publication: 
2014
Series/Report no.: 
Working Papers in Economics and Statistics 2014-05
Abstract: 
The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with this financial instrument in the United States and in several other countries has led to the conclusion that these bonds are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the impact of liquidity on ILB yields. This paper summarizes studies concerning ILB liquidity at a glance and adds a new estimation strategy of the liquidity premium based on Campbell & Shiller's (1996) hypothetical ILB yields. We calculate the difference between observed and hypothetical ILB yields, regress this time series on a set of ILB-specific liquidity as well as general market uncertainty measures and find statistically and economically significant effects of the liquidity measures for the United States, the United Kingdom and Canada.
Subjects: 
Inflation-linked bonds
liquidity
hypothetical yields
JEL: 
G12
G01
H63
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.