Three essays on short-term interest rate and indexed bond markets: Essay I. Reexamination of short-term interest rate models: A repo rate market perspective. Essay II. An inflationary or a disinflationary regime? Evidence from maturing United States t

This dissertation consists of three essays concerning short-term interest rate and indexed bond markets. Essay I reexamines short-term interest rate models based on a repo rate market perspective. Essay II investigates the market's anticipation of inflation regime from maturing U.S. Treasury Inflation-Indexed Securities (TIIS). Essay III assesses the market's inflation risk and ability to incorporate inflation information from U.K. Index-Linked Gilts.; In the first essay, we reexamine short-term interest rate models using a better proxy of instantaneous risk-free rate - overnight General Collateral (GC) repo rate data and adopt the Generalized Method of Moments (GMM) approach. The microstructure issue of overnight GC repo rates is properly controlled. Our finding shows that the volatility of changes in interest rate is roughly constant. We also find that the goodness-of-fit of the model can be improved if we take the effect of calendar days into account in modeling the volatility.; For the second essay, prices of U.S. TIIS during the last six-month coupon period represent a sequence of updated forecasts of the target Consumer Price Index (CPI) used to determine the terminal single cash flow on maturity date. Under the assumption of risk neutrality, the sequence of target CPI forecasts is modeled as a martingale. This study applies the GMM approach and the regression analysis to test two martingale properties of the sequence of target CPI forecasts. The test statistics reject both martingale properties of target CPI forecasts implied in TIIS prices and subsequently reject the validity of the risk neutrality assumption. The empirical evidence is consistent with a market anticipating a disinflationary regime during the first quarter of 2002.; The institutional aspect of U.K. Index-Linked Gilt market requires us to solve the reinvestment rate issue by forming a replicating portfolio in the third essay. The implied target Retail Price Index (RPI) derived from the replicating portfolio shows that there is no specific risk aversion to inflation risk during the second and third quarters of 2002. There exists a persistent forecast error before the RPI announcement date. The market relies on the official announcement to make the final adjustment.