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Pricing Inflation Linked Bonds

[Zeitschriftenartikel]

dc.contributor.authorPelizzari, Cristiande
dc.contributor.authorPaolo, Falbode
dc.date.accessioned2011-03-17T02:31:00Zde
dc.date.accessioned2012-08-29T23:07:47Z
dc.date.available2012-08-29T23:07:47Z
dc.date.issued2010de
dc.identifier.urihttp://www.ssoar.info/ssoar/handle/document/23318
dc.description.abstractThis paper advances a pricing model for inflation linked bonds. Our proposal is developed starting from a Vasicek model of the instantaneous inflation rate process (Vasicek, 1977) and the Cox, Ingersoll, and Ross (CIR) model for the nominal instantaneous risk-free interest rate process (Cox, Ingersoll, Ross, 1985). Instead of adopting the standard approach of a cross-section estimation of the term structure of real interest rates, this work proposes a pricing model based on the estimation of inflation risk premium. The model is applied to Treasury Inflation Protected Securities (TIPS's), which are inflation linked bonds issued by the U. S. Department of the Treasury. Empirical validation is carried out on data in the period 1999-2005.en
dc.languageende
dc.subject.ddcWirtschaftde
dc.subject.ddcEconomicsen
dc.subject.otherInterest rates; Inflation-linked bonds; Continuous time stochastic models; Inflation rates; Treasury Inflation Protected Securities
dc.titlePricing Inflation Linked Bondsen
dc.description.reviewbegutachtet (peer reviewed)de
dc.description.reviewpeer revieweden
dc.source.journalQuantitative Financede
dc.source.volume10de
dc.publisher.countryGBR
dc.source.issue3de
dc.subject.classozEconomic Statistics, Econometrics, Business Informaticsen
dc.subject.classozWirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatikde
dc.subject.classozPolitical Economyen
dc.subject.classozVolkswirtschaftslehrede
dc.identifier.urnurn:nbn:de:0168-ssoar-233188de
dc.date.modified2011-03-17T16:39:00Zde
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)de
dc.rights.licencePEER Licence Agreement (applicable only to documents from PEER project)en
ssoar.gesis.collectionSOLIS;ADISde
ssoar.contributor.institutionhttp://www.peerproject.eu/de
internal.status3de
dc.type.stockarticlede
dc.type.documentjournal articleen
dc.type.documentZeitschriftenartikelde
dc.rights.copyrightfde
dc.source.pageinfo279-293
internal.identifier.classoz10905
internal.identifier.classoz1090300
internal.identifier.document32
internal.identifier.ddc330
dc.identifier.doihttps://doi.org/10.1080/14697680802613057de
dc.subject.methodstheory formationen
dc.subject.methodsTheoriebildungde
dc.description.pubstatusPostprinten
dc.description.pubstatusPostprintde
internal.identifier.licence7
internal.identifier.methods16
internal.identifier.pubstatus2
internal.identifier.review1
internal.embargo.liftdate9999-01-01
internal.check.abstractlanguageharmonizerCERTAIN
internal.check.languageharmonizerCERTAIN_RETAINED


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