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The Long-run Relationship among Index-linked Bonds and Conventional Bonds

Benlagha, Noureddine - In: Review of Economics & Finance 3 (2013) February, pp. 15-24

This paper investigates the existence of arbitrage between index linked bonds and conventional bonds. The long …

Persistent link: https://www.econbiz.de/10010927760

A variance decomposition of index-linked bond returns

Breedon, Francis - 2012

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

Persistent link: https://www.econbiz.de/10010280746

Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04

Benlagha, N. - In: Applied Econometrics and International Development 13 (2013) 1, pp. 55-66

This paper investigates the existence of arbitrage between index linked bonds and conventional ones. Then in a second …

Persistent link: https://www.econbiz.de/10010674779

A variance decomposition of index-linked bond returns

Breedon, Francis J. - 2012

Persistent link: https://www.econbiz.de/10009427074

A Variance Decomposition of Index-Linked Bond Returns

Breedon, Francis - School of Economics and Finance, Queen Mary - 2012

Persistent link: https://www.econbiz.de/10010780018

A variance decomposition of index-linked bond returns

Breedon, Francis - In: Economics Letters 116 (2012) 1, pp. 49-51

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.

Persistent link: https://www.econbiz.de/10010572251

The Term Structure of Real Interest Rates: Theory and Evidence from UK Index-Linked Bonds

Seppälä, Juha - Suomen Pankki - 2000

This paper studies the behavior of the default-risk-free real term structure and term premia in two general equilibrium endowment economies with complete markets but without money. In the first economy there are no frictions as in Lucas (1978) and in the second risk-sharing is limited by the...

Persistent link: https://www.econbiz.de/10005648948

Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices

Barr, David; Campbell, John - 1997

nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index-linked … bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation …

Persistent link: https://www.econbiz.de/10009431974