The Procyclicality of Inflation-Linked Debt

This paper uses UK time-series data to document that the ratio of inflation-linked debt to total public debt (“linker share”) is procyclical. The business cycle properties of the linker share indicate a positive relationship with inflation, even after controlling for breakeven inflation. This can be explained by the tax-smoothing incentives of the government in a simple Ramsey model. Results are similar for the US

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Year of publication:	2022
Authors:	Pinter, Gabor
Publisher:	[S.l.] : SSRN
Subject:	Konjunktur \| Business cycle \| Öffentliche Schulden \| Public debt \| Inflation \| Indexanleihe \| Index-linked bond \| Internationale Staatsschulden \| International sovereign debt

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