Found 2 article(s) for author 'Luis Viceira'

Understanding Inflation-Indexed Bond Markets

Understanding Inflation-Indexed Bond Markets. John Campbell, Luis Viceira, May 3, 2009, Paper. “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...” Link

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