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Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

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  • Luis M. Viceira

    (Harvard University)

  • Adi Sunderam

    (Harvard University)

  • John Y. Campbell

    (Harvard University)

Abstract

The concavity of the yield curve---the level of intermediate-term bond yields, relative to the average of short- and long-term bond yields---is a good proxy for the level of term premia.

Suggested Citation

  • Luis M. Viceira & Adi Sunderam & John Y. Campbell, 2008. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," 2008 Meeting Papers 355, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:355
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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