Arbeitspapier
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 688
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
index-linked bonds
variance decomposition
real interest rate
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breedon, Francis
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breedon, Francis
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2012
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