Understanding inflation-indexed bond markets
By: John Y. Campbell, Robert J. Shiller, Luis M. Viceira.
Contributors: Shiller, Robert J.; Viceira, Luis M.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 15014; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15014.
Publisher: National Bureau of Economic Research
Published: 2009
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "This paper explores the history of inflation-indexed bond markets in the US and the UK.  It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008.  Breakeven inflation rates, calculated from inflation- indexed and nominal government bond yields, stabilized until the fall of 2008, when they showed dramatic declines.  The paper asks to what extent short-term real interest rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008.  Low inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for these bonds, that they provide a safe asset for long-term investors.  Governments should expect inflation-indexed bonds to be a relatively cheap form of debt financing going forward, even though they have offered high returns over the past decade"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/4/2009.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.