A variance decomposition of index-linked bond returns
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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- Campbell, J.Y. & Ammer, J., 1991.
"What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns,"
127, Princeton, Department of Economics - Financial Research Center.
- 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.
- Ammer, John & Campbell, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Scholarly Articles 3382857, Harvard University Department of Economics.
- 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.
- Carolin E. Pflueger & Luis M. Viceira, 2011.
"Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity,"
NBER Working Papers
16892, National Bureau of Economic Research, Inc.
- 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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