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Unemployment A Variance Decomposition of Index-Linked Bond Returns

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  • Francis Breedon

Abstract

We 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.

Suggested Citation

  • Francis Breedon, 2012. "Unemployment A Variance Decomposition of Index-Linked Bond Returns," Economics wp57, Department of Economics, Central bank of Iceland.
  • Handle: RePEc:ice:wpaper:wp57
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