A Variance Decomposition of Index-Linked Bond Returns
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Other versions of this item:
- Breedon, Francis, 2012. "A variance decomposition of index-linked bond returns," Economics Letters, Elsevier, vol. 116(1), pages 49-51.
References listed on IDEAS
- Campbell, John Y & Ammer, John, 1993.
" What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns,"
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American Finance Association, vol. 48(1), pages 3-37, March.
- Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
- 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.
- 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.
- 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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- Noureddine Benlagha, 2013. "The Long-run Relationship among Index-linked Bonds and Conventional Bonds," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 15-24, February.
More about this item
KeywordsIndex-linked bonds; Variance decomposition; Real interest rate;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-05-08 (All new papers)
- NEP-FMK-2012-05-08 (Financial Markets)
- NEP-MAC-2012-05-08 (Macroeconomics)
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