Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

By John Y. Campbell, Adi Sunderam, Luis M. Viceira. 2013

342 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/85d1b531465d3b9636001d0000a685ecdebf2af9

Citations in the corpus

• Bond Market Exposures to Macroeconomic and Monetary Policy Risks (2017, neutral): “First, it allows for changes in the monetary policy rule, both in the inflation target and in the 1See Baele, Bekaert, and Inghelbrecht (2010); Campbell, Pflueger, and Viceira (2013); Campbell, Sunderam, and Viceira (2013); and David and Veronesi (2013).”
• The Wealth-Consumption Ratio (2008, neutral): “In contemporaneous work, Lettau and Wachter (2007) also match moments in stock and bond markets with an affine model, while Campbell, Sunderam, and Viceira (2007) study time-varying correlations between bond and stock returns in a quadratic framework.”
• Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, neutral): “We 35 Recent papers on this issue, using both reduced-form and structural pricing models, include Rudebusch, Swanson, and Wu (2006), Cochrane and Piazzesi (2008), Bandholz, Clostermann, and Seitz (2007), and Backus and Wright (2007).”