A variance decomposition of index-linked bond returns
Economics Letters, 2012, vol. 116, issue 1, 49-51
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.
Keywords: Index-linked bonds; Variance decomposition; Real interest rate (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
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Working Paper: A Variance Decomposition of Index-Linked Bond Returns (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:1:p:49-51
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