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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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) |
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Open Polar |
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RePEc (Research Papers in Economics) |
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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 |
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Iceland |
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Iceland |
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http://sedlabanki.is/lisalib/getfile.aspx?itemid=9366 |
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1796311525026168832 |