A variance decomposition of index-linked bond returns

We undertake a variance decomposition of index-linked bond returns for the US, the 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
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 1, p. 49-51
Publisher:	Elsevier
Subject:	Index-linked bonds \| Variance decomposition \| Real interest rate

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Type of publication:	Article
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

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