Understanding inflation-indexed bond markets / John Y. Campbell, Robert J. Shiller, Luis M. Viceira.
Material type:
TextSeries: Working paper series (National Bureau of Economic Research) ; no. 15014.Publication details: Cambridge, Mass. : National Bureau of Economic Research, 2009Description: 33, [12] p. : ill. ; 22 cmSubject(s): Bond market -- United States -- Econometric models | Bond market -- Great Britain -- Econometric modelsLOC classification: HB1 | .N38 no. 15014Online resources: Click here to access online Summary: This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated from inflation- indexed and nominal government bond yields, stabilized until the fall of 2008, when they showed dramatic declines. The paper asks to what extent short-term real interest rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for these bonds, that they provide a safe asset for long-term investors. Governments should expect inflation-indexed bonds to be a relatively cheap form of debt financing going forward, even though they have offered high returns over the past decade.
| Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
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University of Macedonia Library Βιβλιοστάσιο Β (Stack Room B) | Research Papers | HB1.N38 no. 15014 (Browse shelf (Opens below)) | 1 | Available | 0013125503 |
Includes bibliographical references.
This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated from inflation- indexed and nominal government bond yields, stabilized until the fall of 2008, when they showed dramatic declines. The paper asks to what extent short-term real interest rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008. Low inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for these bonds, that they provide a safe asset for long-term investors. Governments should expect inflation-indexed bonds to be a relatively cheap form of debt financing going forward, even though they have offered high returns over the past decade.
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