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A Variance Decomposition of Index-Linked Bond Returns

Author

Listed:
  • Francis Breedon

    (Queen Mary, University of London)

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. "A Variance Decomposition of Index-Linked Bond Returns," Working Papers 688, Queen Mary University of London, School of Economics and Finance.
    • Handle: RePEc:qmw:qmwecw:688
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    File URL: https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2012/items/wp688.pdf
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    Cited by:

    1. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.

    More about this item

    Keywords

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    JEL classification:

    • 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

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