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Federal Reserve Bank of San Francisco
FRBSF Economic Letter
Do Adjustment Lags Matter for Inflation-Indexed Bonds?
Jens H. E. Christensen
Abstract

Some governments sell bonds that protect against variation in inflation. Payments of these bonds are adjusted in response to official inflation measurements with a lag. Considering the effects of such lags could matter both for understanding market-based measures of inflation compensation and for governments deciding what type of inflation-indexed securities to issue. Analyzing pairs of U.K. bonds with almost identical maturities but different lags in inflation adjustment suggests that the lag length matters mainly close to maturity, when seasonality in the underlying price index plays a role.


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Jens H. E. Christensen, "Do Adjustment Lags Matter for Inflation-Indexed Bonds?" , Federal Reserve Bank of San Francisco, FRBSF Economic Letter, number 08, 2018.
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