The Demand for Index Bonds
The Demand for Index Bonds
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对指数债券的需求
DOI：
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发表时间：
1975
影响因子：
8.2
通讯作者：
S. Fischer
中科院分区：
文献类型：
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作者：
S. Fischer
本文采用跨期优化模型研究了家庭对指数债券的需求，其中家庭可以选择由股票、名义债券和指数债券组成的投资组合。通货膨胀率是不确定的。在所有收入都来自资本利得的情况下，只有当股票不是对冲通胀的工具时，指数债券才会比名义债券溢价；结果还表明，如果存在同质预期且不存在外部债券，则所有借贷将通过指数债券进行，而不存在名义债券。当个人从人力资本中获得收入时，这些结论会被修正。在非常严格的条件下，单一指数债券为家庭提供了与全套期货市场相同的效用，这在一个包含许多消费品的模型中得到了检验。
The demand for index bonds by households is studied in an inter-temporal optimization model in which households can choose a portfolio consisting of equity, nominal bonds, and index bonds. The rate of inflation is uncertain. In a setting where all income is from capital gains, it is shown that index bonds command a premium over nominal bonds only if equity is not a hedge against inflation; it is also shown that, if there are homogeneous expectations and no outside bonds, all lending and borrowing will be through index bonds with no nominal bonds existing. These conclusions are modified when individuals have income from human capital. The very stringent conditions under which a single index bond provides the household with the same utility as a full set of futures markets are examined in a model with many consumption goods.