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:	2012-01
Authors:	Breedon, Francis
Institutions:	School of Economics and Finance, Queen Mary
Subject:	Index-linked bonds \| Variance decomposition \| Real interest rate

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 688
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010780018