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Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

Listed author(s):
  • Luis M. Viceira

    (Harvard University)

  • Adi Sunderam

    (Harvard University)

  • John Y. Campbell

    (Harvard University)

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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File URL: https://economicdynamics.org/meetpapers/2008/paper_355.pdf
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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
Handle: RePEc:red:sed008:355
Contact details of provider: Postal:
Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

Web page: http://www.EconomicDynamics.org/society.htm
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