A variance decomposition of index-linked bond returns
AbstractWe 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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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 116 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Index-linked bonds; Variance decomposition; Real interest rate;
Other versions of this item:
- Francis Breedon, 2012. "A Variance Decomposition of Index-Linked Bond Returns," Working Papers 688, Queen Mary, University of London, School of Economics and Finance.
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Harvard Business School Working Papers
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