The Behaviour of Government of Canada Real Return Bond Returns: An Empirical Study

2005 Annual Conference of the Administrative Sciences Association of Canada, Finance Division, Vol. 26, No. 1, pp. 47-58, May 2005

12 Pages Posted: 2 Aug 2005

See all articles by David W. Peters

David W. Peters

Peters Financial Consulting; Bishop's University; University of Western Ontario - Faculty of Social Science

Abstract

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.

Keywords: Index-linked, bonds, real return, inflation, Canada, price

JEL Classification: G12, G14

Suggested Citation

Peters, David W., The Behaviour of Government of Canada Real Return Bond Returns: An Empirical Study. 2005 Annual Conference of the Administrative Sciences Association of Canada, Finance Division, Vol. 26, No. 1, pp. 47-58, May 2005, Available at SSRN: https://ssrn.com/abstract=762884

David W. Peters (Contact Author)

Peters Financial Consulting ( email )

5 Elm Avenue, Suite 301
Toronto, Ontario M4W 1N1
Canada

Bishop's University ( email )

Lennoxville, Quebec J1M1Z7
Canada
(819) 822-9600 (Phone)

University of Western Ontario - Faculty of Social Science ( email )

London, Ontario N6A 5B8
Canada

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