Suchergebnisse

This 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.

The Covid-19 crisis has radically changed the game for world and EU-economies, and urged for a reappraisal of the guidelines for a healthy management of public expenditure. This requires a deep rethinking of the role of public debt in modern capitalistic economies and of efficient, equitable and politically viable ways of financing it. This paper outlines the main operating framework of a Debt Agency tasked with the management of the Eurozone sovereign debts and the creation of a truly European safe asset. The framework leverages on the potential irredeemable nature of sovereign debts in order to build a common bond. By structurally filtering liquidity risk, the Debt Agency can price the Member States' funding costs by referring only to their credit risk, as defined by EU agreed rules. The common bond issued by the Debt Agency thus avoids mutualisation by design; hence, it can be directly bought by the ECB. Due to its structural intertemporal sustainability, the Debt Agency's framework delineated in this paper can serve as a benchmark for institutional and political decisions. In this perspective, a counterfactual exercise has been conducted in order to evaluate the future potential impact of the Debt Agency as well as the past distortions in market pricing of Member States' fundamental risk due to market mispricing of the liquidity risk.