It is generally assumed that the two Fisher components of the interest rate -- the real interest and the inflation -- evolve independently over time, considering that they are driven by unrelated economical events. However, the market pricing of those components deduced from newly-available bond...

The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries....

Purpose – The purpose of this paper is to build alternative indices weighing using a measure of fundamental value rather than debt size. The official bond indices built to reflect general price trends are market weighted, meaning that the bonds are weighted by their debt size. The more...

It is generally assumed that the two Fisher components of the interest rate -- the real interest and the inflation -- evolve independently over time, considering that they are driven by unrelated economical events. However, the market pricing of those components deduced from newly-available bond...