Inflation‐Indexed Bonds and Nominal Bonds: Financial Innovation and Precautionary Motives

Kang, Minwook

doi:10.1111/jmcb.12609

Cited by 3 publications

(2 citation statements)

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“…For example, Magill and Quinzii (1997) assume that inflation volatility is from monetary shocks while Geanakoplos (2005) assumes that it is from intrinsic endowment shocks. In a general equilibrium model under unstable monetary policy, Kang (2020) showed that indexed bonds do not necessarily lead to Pareto-improvement.…”

Section: Notesmentioning

confidence: 99%

Inflation-linked bonds in incomplete markets with sunspots

Kang

2022

Macroecon. Dynam.

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This paper investigates the impact of the introduction of inflation-linked bonds, which incur transaction costs when traded, on the monetary economy with sunspots. This paper shows that there always exists a certain range of positive transaction costs, where both monetary and bond markets are active. This implies that on top of governments, profit-seeking financial entrepreneurs also have the incentive to issue these bonds. This paper also displays how financial innovation on the indexed bond can be Kaldor improving, even if not necessarily Pareto improving. This finding indicates that together with lump-sum tax policies, the government can attain consensus among consumers on bond issuance.

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Section: Notesmentioning

confidence: 99%

Inflation-linked bonds in incomplete markets with sunspots

Kang

2022

Macroecon. Dynam.

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“…An indexed bond is a bond whose coupon is linked to the price of an underlying (Kang, 2020). Indexed-green bond refers to green bonds linked to the price of another asset (Hassani & Bahini, 2022).…”

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confidence: 99%

Tokenized Indexed-Green Bonds: Funding the Decarbonisation of Ammonia Production

Charles

2023

GLCE

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This study seeks to investigate how distributed ledger technology can be applied to the green bond market. Second, this study examines how green bonds can finance the suck cost of decarbonizing the ammonia industry. Third, this study seeks to forecast the spot price of ammonia. This forecast is relevant since the bond’s coupon should be indexed and linked to the price of ammonia. The proposed tokenized indexed-green bond is a new idea that leverages the technologies of distributed ledgers, indexation, and green bonds. No study to current date has undertaken such research that integrates these technologies to fund the decarbonization of the ammonia industry. Data was collected on the spot price of ammonia from the Central Bank of Trinidad and Tobago online database at the monthly frequency over the January 1991 to June 2023 period. The applied forecasting methodology was a hybrid framework combining Particle Swarm Optimization and Support Vector Regression. This study found that an out-of-sample forecast for ammonia prices would be US$438.89/ton in the 1st quarter, US$289.99/ton by the 2nd quarter, US$448.30/ton by the 3rd quarter, and US$331.57/ton by the 4th quarter. The decarbonization of the ammonia industry is technically possible. Economically, it would involve leveraging several technologies such as green bond financing, tokenization, and indexation.

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B: Financial Instruments and Markets

2020

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Inflation‐Indexed Bonds and Nominal Bonds: Financial Innovation and Precautionary Motives

Cited by 3 publications

References 31 publications

Inflation-linked bonds in incomplete markets with sunspots

Inflation-linked bonds in incomplete markets with sunspots

Tokenized Indexed-Green Bonds: Funding the Decarbonisation of Ammonia Production

B: Financial Instruments and Markets

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