DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Lee, Soonhee | ko |
dc.date.accessioned | 2018-12-20T08:05:45Z | - |
dc.date.available | 2018-12-20T08:05:45Z | - |
dc.date.created | 2018-12-14 | - |
dc.date.created | 2018-12-14 | - |
dc.date.issued | 2018-10 | - |
dc.identifier.citation | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v.47, no.5, pp.605 - 633 | - |
dc.identifier.issn | 2041-9945 | - |
dc.identifier.uri | http://hdl.handle.net/10203/248755 | - |
dc.description.abstract | We estimate term structure using Korean financial data such as nominal spot rates, monthly inflation rates, and a survey of inflation forecasts, and examine the factors affecting Korean inflation-linked bond prices. Inflation-linked bond market yields are higher than the model yields generated using the term structure and the market-model yield differential is explained by the expected inflation rate, on-the-run/off-the-run spread, trading volume, and bond fund cash flows. This shows that inflation-linked bond investors understand the additional benefit of the tax exemption on the notional amount increment caused by inflation that the term structure model ignores, and the inflation-linked bond price is also affected by liquidity and supply–demand pressure. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | An Analysis of the Determinants of Inflation-linked Bond Prices in Korea | - |
dc.type | Article | - |
dc.identifier.wosid | 000451777800001 | - |
dc.identifier.scopusid | 2-s2.0-85055526816 | - |
dc.type.rims | ART | - |
dc.citation.volume | 47 | - |
dc.citation.issue | 5 | - |
dc.citation.beginningpage | 605 | - |
dc.citation.endingpage | 633 | - |
dc.citation.publicationname | ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | - |
dc.identifier.doi | 10.1111/ajfs.12232 | - |
dc.identifier.kciid | ART002399425 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Lee, Soonhee | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Inflation-linked bond (IL bond) | - |
dc.subject.keywordAuthor | Inflation risk | - |
dc.subject.keywordAuthor | Liquidity risk | - |
dc.subject.keywordAuthor | Tax exemption | - |
dc.subject.keywordPlus | CORPORATE YIELD SPREADS | - |
dc.subject.keywordPlus | TERM PREMIA | - |
dc.subject.keywordPlus | REAL RATES | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | EXPECTATIONS | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | TIPS | - |
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