TAILIEUCHUNG - Inflation-Indexed Bonds and the Expectations Hypothesis

Before buying shares in a bond fund, investors should understand the fundamentals—including the potential risks and rewards—of different types of bond Plain Talk brochure explains the basics of bond fund investing, including how bond mutual funds work, what different types of bond funds exist, and how investors can select bond funds that best meet their needs. | HARVARD BUSINESS SCHOOL Inflation-Indexed Bonds and the Expectations Hypothesis Carolin E. Pflueger Luis M. Viceira Working Paper 11-095 Copyright 2011 by Carolin E. Pflueger and Luis M. Viceira Working papers are in draft form. This working paper is distributed for purposes of comment and discussion only. It may not be reproduced without permission of the copyright holder. Copies of working papers are available from the author. Inflation-Indexed Bonds and the Expectations Hypothesis Carolin E. Pflueger and Luis M. Viceira1 1Pflueger Harvard Business School Boston MA 02163. Email cpflueger@. Viceira Harvard Business School Boston MA 02163 and NBER. Email lviceira@. We are grateful to seminar participants at the HBS-Harvard Economics Finance Lunch John Campbell Graig Fantuzzi Josh Gottlieb Robin Greenwood and Jeremy Stein for helpful comments and suggestions. We are also grateful to Martin Duffell and Anna Christie from the UK Debt Management Office for their help providing us with UK bond data. This material is based upon work supported by the Harvard Business School Research Funding. Abstract This paper empirically analyzes the Expectations Hypothesis EH in inflation-indexed or real bonds andinnominal bondsinthe US andinthe UK. Westrongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the EH in nominal bonds. This rejection implies that the risk premium on both real and nominal bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk premium or the breakeven inflation risk premium also varies over time. We argue that the time variation in real bond risk premia mostly likely reflects both a changing real interest rate risk premium and a changing liquidity risk premium and that the variability in the nominal bond risk premia reflects a changing inflation risk premium. We estimate significant time series variability in the magnitude .

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