文档介绍：A SCORECARD FOR INDEXED GOVERNMENT DEBT

John Y. Campbell

Robert J. Shiller

April 1996
This paper was prepared for the NBER Macroeconomics Annual Conference, March
8-9, 1996. The authors are indebted to John Ammer, Norman Carleton, David
Mullins, Julio Rotemberg, and David Wilcox for discussions; to David Barr,
Creon Butler, and Mervyn King for assistance with the UK data and
discussions about the UK experience; and to Andres Lederman, Michael Rashes,
and Luis Viceira for able research assistance. Copyright 1996 John Y.
Campbell and Robert J. Shiller

A SCORECARD FOR INDEXED GOVERNMENT DEBT

ABSTRACT

Within the last five years, Canada, Sweden and New Zealand have joined
the ranks of the United Kingdom and other countries in issuing government
bonds that are indexed to inflation. Some observers of the experience in
these countries have argued that the United States should follow suit. This
paper provides an overview of the issues surrounding debt indexation, and it
tries to answer three empirical questions about indexed debt. First, how
different would the returns on indexed bonds be from the returns on existing
US debt instruments? Second, how would indexed bonds affect the
government's average financing costs? Third, how might the Federal Reserve
be able to use the information contained in the prices of indexed bonds to
help formulate ary policy? The paper concludes with a more speculative
discussion of the possible consequences of increased use of indexed debt
contracts by the private sector.

John Y. Campbell Robert J. Shiller
Department of Economics Cowles Foundation
Harvard University Yale University
Littauer Center 213 30 Hillhouse Avenue
Cambridge, MA 02138 New Haven, CT 06520-8281

1. INTRODUCTION
It is natural for the principal and interest payments specified by debt
contracts to be denominated in real rather than