A Variance Decomposition of Index-Linked Bond Returns

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2012 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Francis Breedon;

doi: 10.2139/ssrn.2092835 , 10.1016/j.econlet.2012.01.007

handle: 10419/55163

A Variance Decomposition of Index-Linked Bond Returns

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Abstract

Abstract 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.

Related Organizations

University of London
United Kingdom
Queen Mary University of London
United Kingdom

Keywords

ddc:330, real interest rate, index-linked bonds, Index-linked bonds, Variance decomposition, Real interest rate, G12, variance decomposition, E43, jel: jel:E43, jel: jel:G12

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