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. Index-linked bonds, Variance decomposition, Real interest rate

Bibliographic Details
Main Author: Francis Breedon
Format: Report
Language:unknown
Subjects:
Iceland
Online Access:https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf
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spelling ftrepec:oai:RePEc:qmw:qmwecw:wp688 2023-05-15T16:46:55+02:00 A Variance Decomposition of Index-Linked Bond Returns Francis Breedon https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf unknown https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf preprint ftrepec 2020-12-04T13:31:18Z 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. Index-linked bonds, Variance decomposition, Real interest rate 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. Index-linked bonds, Variance decomposition, Real interest rate
format Report
author Francis Breedon
spellingShingle Francis Breedon
A Variance Decomposition of Index-Linked Bond Returns
author_facet Francis Breedon
author_sort Francis Breedon
title A Variance Decomposition of Index-Linked Bond Returns
title_short A Variance Decomposition of Index-Linked Bond Returns
title_full A Variance Decomposition of Index-Linked Bond Returns
title_fullStr A Variance Decomposition of Index-Linked Bond Returns
title_full_unstemmed A Variance Decomposition of Index-Linked Bond Returns
title_sort variance decomposition of index-linked bond returns
url https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf
genre Iceland
genre_facet Iceland
op_relation https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf
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