expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate …The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so …. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more …

is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium …

-linked nominal bond trade generates positively-skewed risk-adjusted excess returns across all countries. The key new insight for the … inflation-linked bonds (ILB mispricing) in the G7 government bond markets, and extends the slow moving capital explanation of … which represents more than eight percent of the total size of the G7 inflation-linked bond markets. Furthermore, the index …

zero coupon bond prices: bootstrapping, a piecewise constant forward rates method, a cubic spline model, and the Nelson and … Siegel smoothing model. Next, based on the estimated real and nominal curves, several methodologies to hedge bond portfolios …

Mispricing between Treasury inflation linked bond and nominal bonds is an issue under attention. This paper examines … whether mispricing exists on the French bond market by constructing arbitrage strategies between these two types of assets. We …

Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers … previously greater than the bond yield-declined, while the bond yield rose and became higher. Research, seeking to understand … this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative …

monetary policies more effective. This paper reconsiders this argument with a model that features an inflation risk premium in …