Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55163
Authors: 
Breedon, Francis
Year of Publication: 
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

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