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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.

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Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 355.

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Date of creation: 2008
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Handle: RePEc:red:sed008:355

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