A Variance Decomposition of Index-Linked Bond Returns

Francis Breedon

No 688, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: 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.

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)
Date: 2012-01-01
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