The behavior of government of Canada real return bond returns

The Government of Canada first issued real return bonds, commonly referred to as index-linked bonds in the finance literature, in December 1991. This paper looks at how the prices of real return bonds should behave theoretically, and empirically examines the holding period returns of real return bon...

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Bibliographic Details
Published in:International review of financial analysis 2007, Vol.16 (2), p.152-171
Main Author: Peters, David W.
Format: Article
Language:English
Subjects:
Bonds
Government bonds
Government financing
Index-linked
Inflation
Inflation rates
Interest rates
Public finance
Rates of return
Real return
Studies
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Summary:The Government of Canada first issued real return bonds, commonly referred to as index-linked bonds in the finance literature, in December 1991. This paper looks at how the prices of real return bonds should behave theoretically, and empirically examines the holding period returns of real return bonds between 1992 and 2003. This study finds that the real return bond holding period returns were positively related to changes in the year-over-year inflation rate but with a lagged effect, were negatively related to changes in nominal interest rates, but were unrelated to changes in either the stock exchange index or the value of the Canadian dollar.
ISSN:1057-5219
1873-8079
DOI:10.1016/j.irfa.2005.09.001