Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Economics and Econometrics
Link
https://link.springer.com/content/pdf/10.1007/s10258-020-00185-1.pdf
Reference26 articles.
1. Auckenthaler J, Kupfer A, Sendlhofer R (2015) The impact of liquidity on inflation linked bonds: a hypothetical indexed bonds approach. N Am J Econ Fin 32:139–154
2. Bekaert G, Wang X (2010) Inflation risk. Econ Pol 25(64):755–806
3. Christensen J, Gillan J (2012) Could the US Treasury benefit from issuing more TIPS? Working paper 2011–16. Francisco, Federal Reserve Bank of San
4. Driessen J, Nijman T, Simon Z (2017) The missing piece of the puzzle: liquidity premiums in inflation-indexed markets. Working paper. Research Center SAFE – Goethe University Frankfurt
5. Fleckenstein M (2013) The inflation-indexed bond puzzle. SSRN Working Paper 2180251
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