| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15014 |
| 来源ID | Working Paper 15014 |
| Understanding Inflation-Indexed Bond Markets | |
| John Y. Campbell; Robert J. Shiller; Luis M. Viceira | |
| 发表日期 | 2009-05-28 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15014 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572690 |
| 推荐引用方式 GB/T 7714 | John Y. Campbell,Robert J. Shiller,Luis M. Viceira. Understanding Inflation-Indexed Bond Markets. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15014.pdf（669KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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