Working paper on variance decomposition of index-linked bond returns

NOTE: This article is from 26. January 2012 and is therefore more than 5 years old.

The author, Francis Breedon, professor at the Queen Mary University in London, uses variance decomposition to analyse returns on index-lined bonds in Iceland, US and UK.

He uses VAR analysis and finds that news about future excess returns is key driver for changes in the returns and that only in Iceland the returns are independent of inflation.

The paper is available on CBI's website: Working papers