Understanding Inflation-Indexed Bond Markets

177 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, unknown): “In the period since 1997, when long-term Treasury in ation-protected securities (TIPS) were rst issued, Campbell, Shiller, and Viceira (2009) report that TIPS have had a predominantly negative beta with stocks.”
The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012, result): “Campbell, Shiller, and Viceira (2009) report that the real yield on long-term TIPS has always been positive and is usually above 2%, in contrast with the negative values implied by the BKY calibration of the long-run risks model.”
Measuring the ''World'' Real Interest Rate (2014, unknown): “Ejsing et al. (2007) construct a term structure of European real interest rates, while Campbell et al. (2009) give an excellent historical discussion of movements in both UK and US real rates.”
Inflation Risk and the Inflation Risk Premium (2010, background): “Campbell et al. (2009) note that the current positive correlation between inflation and stock returns (as an indicator of ‘wealth’) may well mean that the inflation premium is now negative in the United States.”