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Title:A variance decomposition of index-linked bond returns PDF Logo
Authors:Breedon, Francis
Issue Date:2012
Series/Report no.:Working Paper // School of Economics and Finance, Queen Mary, University of London 688
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.
Subjects:index-linked bonds
variance decomposition
real interest rate
JEL:E43
G12
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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