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Understanding Inflation-Indexed Bond Markets

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  • John Campbell
  • Robert Shiller
  • Luis Viceira

Abstract

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. Break even inflation rates, calculated from inflation-indexed and nominal government bond yields, stabilized u

Suggested Citation

  • John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
    • Handle: RePEc:ysm:wpaper:amz2587
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    File URL: https://repec.som.yale.edu/icfpub/publications/2587.pdf
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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