Unemployment A Variance Decomposition of Index-Linked Bond Returns
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.
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Format: | Report |
Language: | unknown |
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Online Access: | http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366 |
Summary: | 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. |
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