Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

Luis Viceira (), Adi Sunderam and John Campbell
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Adi Sunderam: Harvard University

No 355, 2008 Meeting Papers from Society for Economic Dynamics

Abstract: The concavity of the yield curve---the level of intermediate-term bond yields, relative to the average of short- and long-term bond yields---is a good proxy for the level of term premia.

Date: 2008
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Related works:
Journal Article: Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2017)
Working Paper: Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2009)
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