tailieunhanh - Understanding Ináation-Indexed Bond Markets

Overall, the results of our paper have important implications regarding the impact of corporate events, such as defaults and bankruptcies on debt values, the relative monitoring advantage of loans (and bank lenders) versus bonds, the benefits of loan monitoring for other financial markets (such as the bond market and the stock market), and on the potential diversification benefits of including loans as an asset class in an investment portfolio along with stocks and bonds. The remainder of the paper is organized as follows. Section 2 describes the growth of the secondary market for bank loans. Section 3 describes our data and sample selection. Section 4 presents our test. | Understanding Inflation-Indexed Bond Markets John Y. Campbell Robert J. Shiller and Luis M. Viceira1 First draft February 2009 This version May 2009 1Campbell Department of Economics Littauer Center Harvard University Cambridge MA 02138 and NBER. Email john_campbell@. Shiller Cowles Foundation Box 208281 New Haven CT 06511 and NBER. Email . Viceira Harvard Business School Boston MA 02163 and NBER. Email lviceira@. Campbell and Viceira s research was supported by the . Social Security Administration through grant 10-M-98363-1-01 to the National Bureau of Economic Research as part of the SSA Retirement Research Consortium. The findings and conclusions expressed are solely those of the authors and do not represent the views of SSA any agency of the Federal Government or the NBER. We are grateful to Carolin Pflueger for exceptionally able research assistance to Mihir Worah and Gang Hu of PIMCO Derek Kaufman of Citadel and Albert Brondolo Michael Pond and Ralph Segreti of Barclays Capital for their help in understanding TIPS and inflation derivatives markets and the unusual market conditions in the fall of 2008 and to Barclays Capital for providing data. An earlier version of the paper was presented at the Brookings Panel on Economic Activity April 2-3 2009. We acknowledge the helpful comments of panel members and our discussants Rick Mishkin and Jonathan Wright. Abstract This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990 s until 2008 followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates calculated from inflation-indexed and nominal government bond yields stabilized until the fall of 2008 when they showed dramatic declines. The paper asks to what extent short-term real interest rates bond risks and liquidity explain the trends before 2008 and the unusual .

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