| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w3009 |
| 来源ID | Working Paper 3009 |
| Inflation Insurance | |
| Zvi Bodie | |
| 发表日期 | 1989-06-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | A contract to insure $1 against inflation is equivalent to a European call option on the consumer price index. When there is no deductible this call option is equivalent to a forward contract on the CPI. Its price is the difference between the prices of a zero coupon real bond and a zero coupon nominal bond, both free of default risk. Provided that the risk-free real rate of interest is positive, the price of such an inflation insurance policy first rises and then falls with time to maturity. It is a decreasing function of the real interest rate and an increasing function of both the expected rate of inflation and the real risk premium on nominal bonds. When a deductible is introduced, the insurance policy can no longer be priced like a CPI forward contract. The option feature has its greatest value when the deductible is close to the forward rate of inflation, defined as the difference between the risk-free nominal and real interest rates. Such inflation insurance contracts are priced using the model developed by Black-Merton-Scholes. Pricing an inflation insurance policy with a cap requires only a minor modification of the model. The approach presented in this paper permits fairly precise quantification of the cost of implementing proposals to index pension benefits for inflation. It also gives us a way of estimating the savings to the Social Security system that would result from introducing a deductible. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w3009 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560284 |
| 推荐引用方式 GB/T 7714 | Zvi Bodie. Inflation Insurance. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w3009.pdf（238KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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