| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16892 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w16892 |
| 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/574567 |
| 推荐引用方式 GB/T 7714 | Carolin E. Pflueger,Luis M. Viceira. Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity. 2011. |
| 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 | ||
| w16892.pdf（854KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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