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来源类型Working Paper
规范类型报告
DOI10.3386/w16892
来源IDWorking Paper 16892
Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
Carolin E. Pflueger; Luis M. Viceira
发表日期2011-03-17
出版年2011
语种英语
摘要Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence that real rate risk premia and inflation risk premia contribute to nominal bond excess return predictability to quantitatively similar degrees. The estimated liquidity premium between U.S. inflation-indexed and nominal yields is systematic, ranges from 30 bps in 2005 to over 150 bps during 2008-2009, and contributes to return predictability in inflation-indexed bonds. We find no evidence that bond supply shocks generate return predictability.
主题Financial Economics ; Portfolio Selection and Asset Pricing
URLhttps://www.nber.org/papers/w16892
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/574567
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Carolin E. Pflueger,Luis M. Viceira. Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity. 2011.
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