Price discovery on traded inflation expectations: does the financial crisis matter?
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Dt. Bundesbank
2009
|
| Series: | Discussion paper / Deutsche Bundesbank : Series 1, economic studies
2009,25 |
| Subjects: | |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Auch im Internet verfügbar. - Zsfassung in dt. Sprache |
| Physical Description: | 43 S. graph. Darst. |
| ISBN: | 9783865585530 9783865585547 |
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MARC
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| 650 | 0 | 7 | |a Inflation |0 (DE-588)4026887-1 |2 gnd |9 rswk-swf |
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Record in the Search Index
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| adam_text | Titel: Price discovery on traded inflation expectations
Autor: Schulz, Alexander
Jahr: 2009
Contents
1 Introduction 1
2 Two markets for trading inflation expectations 3
2.1 The inflation-indexed bond market................ 3
2.2 The inflation swap market..................... 4
2.3 Pricing and arbitrage........................ 6
3 Data 8
4 Price discovery: Measurement method 10
5 Price discovery in the Euro Area and the US 13
5.1 Summer 2008: The baseline scenario............... 13
5.2 Price discovery in times of extreme financial crisis........ 17
5.3 Price discovery with forward rates................. 21
6 Conclusions 21
References 22
List of Tables
1 Average basis by tenor....................... 14
2 Contributions to price discovery in the euro area......... 15
3 Contributions to price discovery in the US............ 17
A-l List of euro area bonds....................... 26
A-2 List of US nominal bonds ..................... 26
A-3 List of US indexed bonds...................... 27
A-4 Euro area: number of observations ................ 27
A-5 US: number of observations .................... 28
A-6 Euro area BEIR: descriptive statistics............... 28
A-7 US BEIR: descriptive statistics .................. 29
A-8 Euro area long-run BEIR relation................. 30
A-9 US long-run BEIR relation..................... 31
A-10 Euro area: Hasbrouck Bounds................... 32
A-ll US: Hasbrouck Bounds....................... 33
List of Figures
1 BEIR during ECB press conference................ 2
2 BEIR definition........................... 4
3 Arbitrage strategy ......................... 7
4 Basis for tenor 7 years........................ 13
5 Bid-/ ask spread for 7 year inflation swaps............. 18
6 US Inflation Swaps: number of daily quotes ........... 20
A-l 7 year BEIR............................. 25
|
| any_adam_object | 1 |
| author | Schulz, Alexander Stapf, Jelena |
| author_facet | Schulz, Alexander Stapf, Jelena |
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| building | Verbundindex |
| bvnumber | BV035771741 |
| classification_rvk | QK 600 |
| collection | ebook |
| ctrlnum | (OCoLC)455623941 (DE-599)BVBBV035771741 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV035771741 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:04:10Z |
| institution | BVB |
| isbn | 9783865585530 9783865585547 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018631426 |
| oclc_num | 455623941 |
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| owner | DE-355 DE-BY-UBR DE-945 DE-20 DE-12 DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-945 DE-20 DE-12 DE-188 |
| physical | 43 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank : Series 1, economic studies |
| spelling | Schulz, Alexander Verfasser aut Price discovery on traded inflation expectations does the financial crisis matter? Alexander Schulz ; Jelena Stapf Frankfurt am Main Dt. Bundesbank 2009 43 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, economic studies 2009,25 Auch im Internet verfügbar. - Zsfassung in dt. Sprache Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Finanzkrise (DE-588)7635855-0 gnd rswk-swf Inflation (DE-588)4026887-1 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Preisbildung (DE-588)4047103-2 s Inflation (DE-588)4026887-1 s Finanzkrise (DE-588)7635855-0 s b DE-604 Stapf, Jelena Verfasser aut Deutsche Bundesbank Discussion paper Series 1, economic studies ; 2009,25 (DE-604)BV017594637 2009,25 http://hdl.handle.net/10419/27924 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018631426&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Schulz, Alexander Stapf, Jelena Price discovery on traded inflation expectations does the financial crisis matter? Kreditmarkt (DE-588)4073788-3 gnd Finanzkrise (DE-588)7635855-0 gnd Inflation (DE-588)4026887-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| subject_GND | (DE-588)4073788-3 (DE-588)7635855-0 (DE-588)4026887-1 (DE-588)4047103-2 |
| title | Price discovery on traded inflation expectations does the financial crisis matter? |
| title_auth | Price discovery on traded inflation expectations does the financial crisis matter? |
| title_exact_search | Price discovery on traded inflation expectations does the financial crisis matter? |
| title_full | Price discovery on traded inflation expectations does the financial crisis matter? Alexander Schulz ; Jelena Stapf |
| title_fullStr | Price discovery on traded inflation expectations does the financial crisis matter? Alexander Schulz ; Jelena Stapf |
| title_full_unstemmed | Price discovery on traded inflation expectations does the financial crisis matter? Alexander Schulz ; Jelena Stapf |
| title_short | Price discovery on traded inflation expectations |
| title_sort | price discovery on traded inflation expectations does the financial crisis matter |
| title_sub | does the financial crisis matter? |
| topic | Kreditmarkt (DE-588)4073788-3 gnd Finanzkrise (DE-588)7635855-0 gnd Inflation (DE-588)4026887-1 gnd Preisbildung (DE-588)4047103-2 gnd |
| topic_facet | Kreditmarkt Finanzkrise Inflation Preisbildung |
| url | http://hdl.handle.net/10419/27924 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018631426&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV017594637 |
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