A Variance Decomposition of Index-Linked Bond Returns

Breedon, Francis

doi:10.2139/ssrn.2092835

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A Variance Decomposition of Index-Linked Bond Returns

Economics Letters, Vol. 116, No. 1, 2012

QMUL Working Paper No. 688

7 Pages Posted: 26 Jun 2012

See all articles by Francis Breedon

Francis Breedon

University of London, Queen Mary - School of Economics and Finance

Date Written: January 31, 2012

Abstract

We undertake a variance decomposition of index-linked bond returns for the US, the 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.

Suggested Citation: Suggested Citation

Breedon, Francis, A Variance Decomposition of Index-Linked Bond Returns (January 31, 2012). Economics Letters, Vol. 116, No. 1, 2012, QMUL Working Paper No. 688, Available at SSRN: https://ssrn.com/abstract=2092835 or http://dx.doi.org/10.2139/ssrn.2092835