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: Breedon, Francis
Format: Article in Journal/Newspaper
Language:English
Published: London: Queen Mary University of London, School of Economics and Finance 2012
Subjects:
ddc:330
E43
G12
index-linked bonds
variance decomposition
real interest rate
manag
info
Iceland
Online Access:http://hdl.handle.net/10419/55163
Description
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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