Share This Article:

How to Value GDP-Linked Collar Bonds? An Introductory Perspective

Abstract Full-Text HTML XML Download Download as PDF (Size:54KB) PP. 152-155
DOI: 10.4236/tel.2013.33024    3,744 Downloads   5,411 Views   Citations

ABSTRACT

This short paper proposed a pricing method for GDP-linked collar bonds based on the classical discounted pricing model and the assumption that the GDP can be described with a geometric Brownian motion. The estimation of parameters was not discussed because it is not central in our numerical exercise.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

C. Schinckus, "How to Value GDP-Linked Collar Bonds? An Introductory Perspective," Theoretical Economics Letters, Vol. 3 No. 3, 2013, pp. 152-155. doi: 10.4236/tel.2013.33024.

References

[1] M. Schroder, F. Heinemann, S. Kruse and M. Meitner, “GDP-Linked Bonds as a Financing Tool for Developing Countries and Emerging Markets,” ZEW Discussion Paper 04-64, Centre for European Economic Research, Mannheim, 2004.
[2] L. Kamal and M. Lashgari, “Comparing GDP Indexed Bonds to Standard Government Bonds,” Journal of Applied Business and Economics, Vol. 13, No. 2, 2012, pp. 116-128.
[3] O. Ruban, Sh. Poon and K. Vonatsos, “GDP Linked Bonds: Contract Design and Pricing,” Working Paper, Manchester Business School, 2008.
[4] S. Kruse, M. Meitner and M. Schroder, “On the Pricing of GDP Linked, Financial Products,” Applied Financial Economics, Vol. 15, No. 16, 2005, pp. 1125-1133. doi:10.1080/09603100500359260
[5] K. Miyajima, “How to Evaluate GDP-Linked Warrants: Price and Repayment Capacity,” IMF Working Paper, WP06/85, 2006.
[6] S. Griffith-Jones and K. Sharma, “GDP-Indexed Bonds: Making It Happen,” UN/DESA Working Paper, No. 21, 2006.
[7] M. Kamstra and R. Shiller, “The Case of Trills: Giving the People and Their Pension Funds a Stake in the Wealth of the Nation,” Cowles Foundations Discussion Paper Series, 2009.
[8] L. Li, “Macroeconomic Factors and the Correlation of Stock and Bond Returns,” Working Paper, Yale University, Vol. 118, 2002, pp. 1-39.
[9] R. Shiller, “Worried about US debt? Shiller Pushes GDP-Linked Bonds,” The Wall Street Journal, 17 February 2011.
[10] R. Shiller, “Finance and Society,” Princeton University Press, Princeton, 2012.

  
comments powered by Disqus

Copyright © 2019 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.