Decomposing Expected Bond Returns
10 Pages Posted: 16 Dec 2015
Date Written: December 11, 2015
This paper blends the successful decomposition of nominal bond returns by Pflueger and Viceira (2011), with the forecasting factors of Sabol (2015) to conjure up a complete model of risk-free bonds.
Keywords: Bond returns,expected returns, bond risk premia, inflation risk premium, liquidity risk premia
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