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A variance decomposition of index-linked bond returns

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Author Info

  • Breedon, Francis

Abstract

We undertake a variance decomposition of index-linked bond returns for the US, the UK and Iceland. In all cases, news about future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176512000122
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 116 (2012)
Issue (Month): 1 ()
Pages: 49-51

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Handle: RePEc:eee:ecolet:v:116:y:2012:i:1:p:49-51

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Index-linked bonds; Variance decomposition; Real interest rate;

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References

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  1. Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
  2. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
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Cited by:
  1. Noureddine Benlagha, 2013. "The Long-run Relationship among Index-linked Bonds and Conventional Bonds," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 15-24, February.

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