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.

Bibliographic Details
Main Author: Francis Breedon
Format: Report
Language:unknown
Subjects:
Iceland
Online Access:http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366
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spelling ftrepec:oai:RePEc:ice:wpaper:wp57 2024-04-14T08:13:31+00:00 Unemployment A Variance Decomposition of Index-Linked Bond Returns Francis Breedon http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366 unknown http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366 preprint ftrepec 2024-03-19T10:36:11Z 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. Report Iceland RePEc (Research Papers in Economics)
institution Open Polar
collection RePEc (Research Papers in Economics)
op_collection_id ftrepec
language unknown
description 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.
format Report
author Francis Breedon
spellingShingle Francis Breedon
Unemployment A Variance Decomposition of Index-Linked Bond Returns
author_facet Francis Breedon
author_sort Francis Breedon
title Unemployment A Variance Decomposition of Index-Linked Bond Returns
title_short Unemployment A Variance Decomposition of Index-Linked Bond Returns
title_full Unemployment A Variance Decomposition of Index-Linked Bond Returns
title_fullStr Unemployment A Variance Decomposition of Index-Linked Bond Returns
title_full_unstemmed Unemployment A Variance Decomposition of Index-Linked Bond Returns
title_sort unemployment a variance decomposition of index-linked bond returns
url http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366
genre Iceland
genre_facet Iceland
op_relation http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366
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