References (26)


Citations (2)



Emerging Markets Inflation-Linked Bonds

Laurentius (Laurens) Adrianus Petrus Swinkels

Erasmus University Rotterdam (EUR)

February 12, 2012

Financial Analysts Journal, Vol 68, Issue 5, pp. 38-56.

We investigate the added value of inflation-linked bonds in an investment portfolio. Recently, several studies questioned the added value of inflation-linked bonds based on empirical analyses on developed markets. We extend the cross-section of countries with a set of nine emerging markets and conclude that for many of these countries the inclusion of inflation-linked bonds improves the risk-return characteristics of investment portfolios. We also document that inflation-linked bond returns correlate more with realized inflation than nominal bonds, even on the short run. Hence, investors that invest in nominal bonds and equities should also allocate a significant amount to inflation-linked bonds. Furthermore, our mean-variance spanning tests indicate that US investors that already invest in emerging markets nominal bonds and emerging markets equities benefit from adding emerging markets inflation-linked bonds to their investment portfolio.

Number of Pages in PDF File: 31

Keywords: allocation, bonds, emerging debt, emerging markets, fixed income, inflation, inflation-linked bonds

JEL Classification: F21, G11, G15

Open PDF in Browser Download This Paper

Date posted: June 28, 2011 ; Last revised: July 18, 2016

Suggested Citation

Swinkels, Laurentius (Laurens) Adrianus Petrus, Emerging Markets Inflation-Linked Bonds (February 12, 2012). Financial Analysts Journal, Vol 68, Issue 5, pp. 38-56.. Available at SSRN: https://ssrn.com/abstract=1873967 or http://dx.doi.org/10.2139/ssrn.1873967

Contact Information

Laurentius (Laurens) Adrianus Petrus Swinkels (Contact Author)
Erasmus University Rotterdam (EUR) ( email )
Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Feedback to SSRN

Paper statistics
Abstract Views: 3,102
Downloads: 708
Download Rank: 26,851
References:  26
Citations:  2