Understanding inflation-indexed bond markets

Brookings Papers on Economic Activity

Volumn , Issue 1, 2009, Pages 79-120

  Campbell, John Y ^a   Shiller, Robertj ^b   Viceira, Luis M ^a  

^a HARVARD UNIVERSITY   (United States)

^b YALE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 70349238700     PISSN: 00072303     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (54)

1. Backus, David K., and Stanley E. Zin. 1994. "Reverse Engineering the Yield Curve." Working Paper 4676. Cambridge, Mass.: National Bureau of Economic Research.
2. Bansal, Ravi, and Amir Yaron. 2004. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles." Journal of Finance 59, no.4: 1481-1509.
3. Bansal, Ravi, Robert Dittmar, and Dana Kiku. 2009. "Cointegration and Consumption Risks in Asset Returns." Review of Financial Studies 22, no.3: 1343-1375
4. Bansal, Ravi, Varoujan Khatchatrian, and Amir Yaron. 2005. "Interpretable Asset Markets?" European Economic Review 49, no.3: 531-560
5. Bansal, Ravi, Dana Kiku, and Amir Yaron. 2007. "Risks for the Long Run: Estimation and Inference." Duke University and University of Pennsylvania.
6. Barr, David G., and John Y. Campbell. 1997. "Inflation, Real Interest Rates, and the Bond Market: A Study of UK Nominal and Index-Linked Government Bond Prices." Journal of Monetary Economics 39, no.3: 361-383
7. Beechey, Meredith J., and Jonathan H. Wright. 2008. "The High-Frequency Impact of News on Long-Term Yields and Forward Rates: Is It Real?" FEDS Working Paper 2008-39 Washington: Board of Governors of the Federal Reserve.
8. Bekaert, Geert, Eric Engstrom, and Steven R. Grenadier. 2006. "Stock and Bond Returns with Moody Investors." Working Paper 12247. Cambridge, Mass.: National Bureau of Economic Research.
9. Bernanke, Ben. 2004. "The Great Moderation." Address to the Eastern Economic Association, Washington, February 20. (www.federalreserve.gov/ BOARD DOCS/SPEECHES/2004/20040220/default.htm).
10. Blanchard, Olivier, and John Simon. 2001. "The Long and Large Decline in U.S. Output Volatility." BPEA, no.1: 135-164
11. Brennan, Michael J., and Yihong Xia. 2002. "Dynamic Asset Allocation under Inflation." Journal of Finance 57, no.3: 1201-1238
12. Brière, Marie, and Ombretta Signoři. 2009. "Do Inflation-Linked Bonds Still Diversify?" European Financial Management 15, no.2: 279-297
13. Campbell, John Y. 1986. "Bond and Stock Returns in a Simple Exchange Model." Quarterly Journal of Economics 101, no.4: 785-804.
14. -. 1993. "Intertemporal Asset Pricing without Consumption Data." American Economic Review 83, no.3: 487-512.
15. -. 1996. "Understanding Risk and Return." Journal of Political Economy 104, no.2: 298-345.
16. -. 2003. "Consumption-Based Asset Pricing." Chapter 13 in Handbook of the Economics of Finance, vol.IB, edited by George M. Constantinides, Milton Harris, and René Stulz. Amsterdam: North-Holland.
17. Campbell, John Y., and John H. Cochrane. 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." Journal of Political Economy 107, no.2: 205-251
18. Campbell, John Y., and Robert J. Shiller. 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View." Review of Economic Studies 58, no.3: 495-514.
19. -. 1997. "A Scorecard for Indexed Government Debt." NBER Macroeconomics Annual 1996, vol.11, pp. 155-197
20. Campbell, John Y., and Luis M. Viceira. 2001. "Who Should Buy Long-Term Bonds?" American Economic Review 91, no.1: 99-127.
21. -. 2002. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors. New York: Oxford University Press.
22. -. 2004. "Long-Horizon Mean-Variance Analysis: A User Guide." Harvard University, kuznets.fas.harvard.edu/~campbell/papers/FAJ-CV-userguide. pdf.
23. -. 2005. "The Term Structure of the Risk-Return Trade-off." Financial Analysts Journal 61, no.1: 34-44.
24. Campbell, John Y., and Tuomo Vuolteenaho. 2004. "Bad Beta, Good Beta." American Economic Review 94, no.5: 1249-1275
25. Campbell, John Y., Yeung Lewis Chan, and Luis M. Viceira. 2003. A Multivariate Model of Strategic Asset Allocation. Journal of Financial Economics 67, no.1: 41-80. (Pubitemid 36002819)
26. Campbell, John Y., Adi Sunderam, and Luis M. Viceira. 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds." Working Paper 14701. Cambridge, Mass.: National Bureau of Economic Research.
27. Christensen, Jens H. E., Jose A. Lopez, and Glenn D. Rudebusch. 2009. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields." Financial Institutions Center Paper 09-02 Wharton School, University of Pennsylvania.
28. D'Amico, Stefania, Don H. Kim, and Min Wei. 2008. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices." FEDS Working Paper 2008-30 Washington: Board of Governors of the Federal Reserve.
29. Epstein, Larry G., and Stanley Zin. 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework." Econométrica 57, no.4: 937-969
30. -. 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Investigation." Journal of Political Economy 99, no.2: 263-286
31. Fama, Eugene F. 1975. "Short-Term Interest Rates as Predictors of Inflation." American Economic Review 65, no.3: 269-282
32. Fleming, Michael J., and Neel Krishnan. 2009. "The Microstructure of the TIPS Market." Federal Reserve Bank of New York and Option Arbitrage Fund.
33. Gollier, Christian. 2007. "The Consumption-Based Determinants of the Term. Structure of Discount Rates." Mathematics and Financial Economics 1, no.2: 81-101.
34. Greenwood, Robin, and Dimitri Vayanos. 2008. "Bond Supply and Excess Bond Returns." Working Paper 13806. Cambridge, Mass.: National Bureau of Economic Research.
35. Grishchenko, Olesya V., and Jing-zhi Huang. 2008. "Inflation Risk Premium: Evidence from the TIPS Market." Pennsylvania State University.
36. Gürkaynak, Refet S., Brian Sack, and Jonathan H. Wright. 2008. "The TIPS Yield Curve and Inflation Compensation." FEDS Working Paper 2008-05 Washington: Board of Governors of the Federal Reserve.
37. Hansen, Lars Peter, John C. Heaton, and Nan Li. 2008. "Consumption Strikes Back? Measuring Long-Run Risk." Journal of Political Economy 116, no.2: 260-302.
38. Haubrich, Joseph, George Pennacchi, and Peter Ritchken. 2008. "Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates." Working Paper 08-10. Federal Reserve Bank of Cleveland.
39. Hu, Gang, and. Mihir Woran. 2009. "Why Tips Real Yields Moved Significantly Higher after the Lehman Bankruptcy." PIMCO, Newport Beach, Calif, (available on request from the authors).
40. Kim, C.-J., and Charles R. Nelson. 1999. "Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle." Review of Economics and Statistics 81, no.4: 608-616
41. McConnell, Margaret M., and Gabriel Perez-Quiros. 2000. "Output Fluctuations in the United States: What Has Changed Since the Early 1980's?" American Economic Review 90, no.5: 1464-1476
42. McCulloch, J. Huston, and Heon-Chul Kwon. 1993. "US Term Structure Data, 1947-1991." Working Paper 93-6. Ohio State University.
43. Merton, Robert C. 1973. "An Intertemporal Capital Asset Pricing Model." Econometrica 41, no.5: 867-887
44. Nelson, Charles R., and Andrew F. Siegel. 1987. "Parsimonious Modeling of Yield Curves." Journal of Business 60, no.4: 473-489
45. Piazzesi, Monika, and Martin Schneider. 2007. "Equilibrium Yield Curves." NBER Macroeconomics Annual 2006, pp. 389-472.
46. Restoy, Fernando, and. Philippe Weil. 1998. "Approximate Equilibrium Asset Prices." Working Paper 6611. Cambridge, Mass.: National Bureau of Economic Research.
47. Roush, Jennifer, William Dudley, and Michelle Steinberg Ezer. 2008. "The Case for TIPS: An Examination of the Costs and Benefits." Staff Report 353. Federal Reserve Bank of New York.
48. Stock, James, and Mark Watson. 2003. "Has the Business Cycle Changed and Why?" NBER Macroeconomics Annual 2002, pp. 159-218.
49. Svensson, Lars E. O. 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994." Working Paper 4871. Cambridge, Mass.: National Bureau of Economic Research.
50. Vayanos, Dimitri, and Jean-Luc Vila. 2007. "A Preferred-Habitat Model of the Term Structure of Interest Rates." London School of Economics and Merrill Lynch.
51. Viceira, Luis M., and Akiko M. Mitsui. 2003. "Pension Policy at the Boots Company PLC." Case 203105. Harvard Business School.
52. -. 2007. "Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates." Working Paper 07-082. Harvard Business School.
53. Wachter, Jessica A. 2003. "Risk Aversion and Allocation to Long-Term Bonds." Journal of Economic Theory 112, no.2: 325-333
54. -. 2006. A Consumption-Based Model of the Term Structure of Interest Rates. Journal of Financial Economics 79, no.2: 365-399 (Pubitemid 43092739)