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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 688
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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index-linked bonds
variance decomposition
real interest rate
- Event
-
Geistige Schöpfung
- (who)
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Breedon, Francis
- Event
-
Veröffentlichung
- (who)
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Queen Mary University of London, School of Economics and Finance
- (where)
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London
- (when)
-
2012
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Breedon, Francis
- Queen Mary University of London, School of Economics and Finance
Time of origin
- 2012
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