The Behaviour of Government of Canada Real Return Bond Returns: An Empirical Study
David W. Peters
Peters Financial Consulting; Bishop's University; University of Western Ontario - Faculty of Social Science
2005 Annual Conference of the Administrative Sciences Association of Canada, Finance Division, Vol. 26, No. 1, pp. 47-58, May 2005
The Government of Canada first issued real return bonds, commonly referred to as index-linked bonds in the finance literature, in December 1991. This paper empirically examines the holding period returns of real return bonds between 1992 and 2003. This study finds that the real return bond holding period returns were positively related to changes in the year-over-year inflation rate but with a lagged effect, were negatively related to changes in nominal interest rates, but were unrelated to changes in either the stock exchange index or the value of the Canadian dollar.
Number of Pages in PDF File: 12
Keywords: Index-linked, bonds, real return, inflation, Canada, price
JEL Classification: G12, G14Accepted Paper Series
Date posted: August 2, 2005
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