Essays about: "Inflation-Linked Bonds"

Found 5 essays containing the words Inflation-Linked Bonds.

  1. 1. Inflation risk revisited : The hedging properties of major asset classes

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Andreas Berdén; Hilding Larsson; [2023]
    Keywords : Inflation; unexpected inflation; inflation hedge; inflation-linked bonds; TIPS; treasury bills; stocks; bonds; real estate; gold; Inflation; oväntad inflation; inflationsskydd; inflationskopplade obligationer; statsskuldväxlar; aktier; obligationer; fastigheter; guld;

    Abstract : This paper is in large parts an update to a paper by Bekaert and Wang from 2010 called Inflation risk and the inflation risk premium. Its purpose is to find insights into the inflation hedging properties of the major asset classes. READ MORE

  3. 2. Optimizing the Nuclear Waste Fund's Profit

    University essay from Stockholms universitet/Företagsekonomiska institutionen

    Author : Zakaria Kazi-tani; André Ramirez Alvarez; [2018]
    Keywords : Nuclear Waste Fund; optimization; the Markowitz portfolio theory; strategic asset allocation; tactical asset allocation; polynomial regression; bonds; disposal; Kärnavfallsfonden; nuclear waste; the Legal; Financial and Administrative Services Agency; MATLAB;

    Abstract : The Nuclear Waste Fund constitutes a financial system that finances future costs of the management of spent nuclear fuel as well as decommissioning of nuclear power plants. The fund invests its capital under strict rules which are stipulated in the investment policy established by the board. READ MORE

  4. 3. Inflation Risk Premium in the Swedish Bond Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Viktor Berggren; Domantas Lubys; [2016]
    Keywords : inflation risk premium; liquidity risk premium; expected inflation; inflation-linked bonds;

    Abstract : The purpose of this study is to investigate the dynamics of the inflation risk premium in the Swedish bond market using nominal and inflation-linked bond yields. We apply a no-arbitrage method extracting real yields from nominal and inflation-linked yields taking the three-month indexation lag inherent in Swedish bond yields into account. READ MORE

  5. 4. Estimation of a Liquidity Premium for Swedish Inflation Linked Bonds

    University essay from KTH/Matematisk statistik

    Author : Magnus Bergroth; Anders Carlsson; [2014]
    Keywords : Inflation linked yields; State space model; Kalman filter; Maximum likelihood estimation;

    Abstract : It is well known that the inflation linked breakeven inflation, defined as the difference between a nominal yield and an inflation linked yield, sometimes is used as an approximation of the market’s inflation expectation. D’Amico et al. (2009, [5]) show that this is a poor approximation for the US market. READ MORE

  6. 5. Swedish Breakeven Inflation (BEI) - a market based measure of inflation expectations?

    University essay from Nationalekonomiska institutionen

    Author : Jonas Calmvik; [2008]
    Keywords : Inflation-Linked Bonds; Index Linked; Swedish Bonds; Carry; CPI Seasonality; Sveriges Riksbank; SNDO; Prospera; Inflation Expectations;

    Abstract : The Fisher Equation suggests that the spread between nominal and real interest rates is equal to the inflation expectations. In Sweden, where both nominal and inflation linked bonds exist the fisher equation implies that the yield spread could provide investors and policymakers with important information about markets inflation expectations. READ MORE