Search Results
Journal Article
Disentangling diverse measures: a survey of financial stress indexes
The recent financial crisis helped emphasize the need for measures of financial conditions. In the wake of the crisis, several researchers and institutions?both private sector and central bank?developed measures of financial stress. These measures are intended to capture, among other things, the liquidity in financial markets and potentially forecast changes in real economic conditions. Unfortunately, there is no agreement about which variables should be included in a measure of stress. The authors survey a number of financial stress indexes, comparing the datasets from which they are ...
Monograph
The concept of indexation in the history of economic thought
originally appeared in the Federal Reserve Bank of Richmond Economic Review, Nov/Dec 1974
Journal Article
Features and risks of Treasury Inflation Protection Securities
In 1997, the U.S. Treasury began the quarterly issuance of inflation indexed bonds, called Treasury Inflation Protection Securities (TIPS). So far, the Treasury has issued both 5-year and 10-year indexed bonds and will begin to issue 30-year indexed bonds and inflation indexed savings bonds in 1998. TIPS differ from conventional Treasury bonds in both their payment flows and risks. With virtually no inflation risk, they are the safest assets currently available in the U.S. market. Combined with conventional Treasury bonds, they allow investors to separate inflation risk from real interest ...
Working Paper
Indexed debt contracts and the financial accelerator
This paper addresses the positive and normative implications of indexing risky debt to observable aggregate conditions. These issues are pursued within the context of the celebrated financial accelerator model of Bernanke, Gertler and Gilchrist (1999). The principal conclusions are that the optimal degree of indexation is significant, and that the business cycle properties of the model are altered under this level of indexation.
Working Paper
Implications of economic interdependence and exchange rate policy on endogenous wage indexation decisions
This paper shows how economic interdependence affects wage indexation decisions when monetary authorities do not observe stochastic disturbances. Under a managed exchange rate, atomistic wage setters in interdependent nations will choose the same degree of indexation as they would in a small open economy. Under a flexible exchange rate, the likelihood rises that they will choose a lower degree of indexation than their counterparts in a small open economy as the degree of interdependence rises, as the variance of money demand shocks rise relative to supply shocks, and as supply curves steepen. ...
Journal Article
Federal income tax reform in 1985: indexation
Report
Inflation risk in the U.S. yield curve: the usefulness of indexed bonds
The inflation-indexed bonds the U.S. Treasury plans to issue will reduce the expected borrowing cost if the yield curve reflects a risk premium for inflation. In the United Kingdom, indexed bonds are also used to extract inflationary expectations and thus to guide monetary policy. The bonds will produce a more reliable measure of such expectations if the inflation risk premium is taken into account. We estimate such a risk premium for the United States by means of a two-factor affine-yield model of the term structure. The model allows both the inflation risk premium and real term premium to ...
Conference Paper
Indexation and contract length in unionized U.S. manufacturing
Journal Article
Inflation-indexed bonds: how do they work?
In January 1997, the United States Treasury, after years of debate, issued its first inflation-indexed bonds. These securities differ from conventional bonds in that principal and interest payments are linked to a price index. Thus, the purchasing power of an investor's savings is protected from inflation. This article provides a simple description of the Treasury's new offering and discusses why indexed bonds may be useful to investors, the Treasury, and policymakers
Journal Article
The name is bond--indexed bond
Will the Treasury Department's new inflation-indexed bond prove to be the bond "with the Midas touch"?