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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Year of publication:	2012
Authors:	Breedon, Francis
Publisher:	London : Queen Mary University of London, School of Economics and Finance
Subject:	index-linked bonds \| variance decomposition \| real interest rate

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Series:	Working Paper ; 688
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	684664143 [GVK] hdl:10419/55163 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010280746