A Variance Decomposition of Index-Linked Bond Returns
AbstractWe undertake a variance decomposition of index-linked bond returns for the US, 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 InfoPaper provided by Queen Mary, University of London, School of Economics and Finance in its series Working Papers with number 688.
Date of creation: Jan 2012
Date of revision:
Index-linked bonds; Variance decomposition; Real interest rate;
Other versions of this item:
- Breedon, Francis, 2012. "A variance decomposition of index-linked bond returns," Economics Letters, Elsevier, vol. 116(1), pages 49-51.
- 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-FMK-2012-05-08 (Financial Markets)
- NEP-MAC-2012-05-08 (Macroeconomics)
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.:
- Carolin E. Pflueger & Luis M. Viceira, 2011.
"Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity,"
Harvard Business School Working Papers
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- John Y. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc.
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- 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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