A variance decomposition of index-linked bond returns

Francis Breedon

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 J.
Publisher:	London : School of Economics and Finance
Subject:	Index-linked bonds \| Variance decomposition \| Real interest rate \| Indexanleihe \| Index-linked bond \| Realzins \| Großbritannien \| United Kingdom \| Dekompositionsverfahren \| Decomposition method \| Theorie \| Theory \| Island \| Iceland \| Öffentliche Anleihe \| Public bond

Extent:	Online-Ressource (PDF-Datei: 4 S., 250,05 KB)
Series:	Working paper. - London : [Verlag nicht ermittelbar], ISSN 1473-0278, ZDB-ID 2666392-2. - Vol. 688
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/55163 [Handle]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009427074