| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16903 |
| 来源ID | Working Paper 16903 |
| Inflation-Indexed Bonds and the Expectations Hypothesis | |
| Carolin E. Pflueger; Luis M. Viceira | |
| 发表日期 | 2011-03-24 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This rejection implies that the risk premium on both real and nominal bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk premium, or the break-even inflation risk premium, also varies over time. We argue that the time variation in real bond risk premia mostly likely reflects both a changing real interest rate risk premium and a changing liquidity risk premium, and that the variability in the nominal bond risk premia reflects a changing inflation risk premium. We estimate significant time series variability in the magnitude and sign of bond risk premia. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16903 |
| 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/574578 |
| 推荐引用方式 GB/T 7714 | Carolin E. Pflueger,Luis M. Viceira. Inflation-Indexed Bonds and the Expectations Hypothesis. 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 | ||
| w16903.pdf（331KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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