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

Citations

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Cited by:

  1. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," Review of Asset Pricing Studies, Oxford University Press, pages 38-94.
  2. Julian di Giovanni & Akito Matsumoto, 2011. "The Value of Human Capital Wealth," Global COE Hi-Stat Discussion Paper Series gd10-174, Institute of Economic Research, Hitotsubashi University.
  3. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  4. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, pages 79-138.
  5. Lettau, Martin & Wachter, Jessica A., 2011. "The term structures of equity and interest rates," Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
  6. Joseph G. Haubrich & George Pennacchi & Peter H. Ritchken, 2008. "Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Paper 0810, Federal Reserve Bank of Cleveland.
  7. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Society for Financial Studies, pages 2374-2428.
  8. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
  9. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
  10. Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, pages 50-69.
  11. Gauvin, L. & McLoughlin, C. & Reinhardt, D., 2013. "Policy Uncertainty Spillovers to Emerging Markets - Evidence from Capital Flows," Working papers 435, Banque de France.
  12. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Society for Financial Studies, pages 2374-2428.
  13. Alexander David & Pietro Veronesi, 2013. "What Ties Return Volatilities to Price Valuations and Fundamentals?," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 682-746.
  14. Wu, Chih-Chiang & Liang, Shin-Shun, 2011. "The economic value of range-based covariance between stock and bond returns with dynamic copulas," Journal of Empirical Finance, Elsevier, pages 711-727.
  15. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  16. Sekkel, Rodrigo, 2011. "International evidence on bond risk premia," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 174-181, January.
  17. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163 Bank for International Settlements.
  18. Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, pages 321-331.
  19. : Arie E. Gozluklu, 2012. "Inflation, Stock Market and Long-Term Investors: Real Effects of Changing Demographics," Working Papers wpn12-06, Warwick Business School, Finance Group.
  20. repec:dau:papers:123456789/9296 is not listed on IDEAS
  21. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
  22. Vo Le & David Meenagh & Patrick Minford & Michael Wickens & Yongdeng Xu, 2016. "Testing Macro Models by Indirect Inference: A Survey for Users," Open Economies Review, Springer, pages 1-38.
  23. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
  24. repec:eee:dyncon:v:82:y:2017:i:c:p:206-222 is not listed on IDEAS
  25. Elyasiani, Elyas & Keegan, Jason, 2017. "Market Discipline in the Secondary Bond Market: The Case of Systemically Important Banks," Working Papers 17-5, Federal Reserve Bank of Philadelphia.
  26. Friedrich Heinemann, 2011. "Economic crisis and morale," European Journal of Law and Economics, Springer, pages 35-49.
  27. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.).
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