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
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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) |
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Open Polar |
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RePEc (Research Papers in Economics) |
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ftrepec |
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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 |
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Iceland |
op_relation |
https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/archive/wp688.pdf |
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1766037012367802368 |