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  • 10 Jan 2012
  • First Look

First Look: January 10

person in need, which, in turn, increased intentions to help. Inflation-Indexed Bonds and the Expectations Hypothesis Authors:Carolin E. Pflueger and Luis M. Viceira Publication:Annual Review of Financial... View Details
Keywords: Sean Silverthorne
  • Web

Finance Awards & Honors - Faculty & Research

for “Monetary Policy Drivers of Bond and Equity Risks” (with John Y. Campbell and Carolin E. Pflueger). 2013 Malcolm P. Baker : Second Place Winner of the 2012 Jensen Prize for the Best Corporate Finance... View Details
  • 15 Dec 2015
  • First Look

December 15, 2015

monetary rewards are at stake (Study 3). The tendency to infer dislike from dissimilarity is driven by a belief that others have a narrow and homogeneous range of preferences (Study 5). Publisher's link:... View Details
Keywords: Carmen Nobel
  • 08 Oct 2013
  • First Look

First Look: October 8

such joins do and do not increase welfare. Download working paper: http://ssrn.com/abstract=1535448 Monetary Policy Drivers of Bond and Equity Risks By: Campbell, John Y., Carolin E. Pflueger, and Luis M.... View Details
Keywords: Sean Silverthorne
  • 2016
  • Chapter

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

By: Carolin E. Pflueger and Luis M. Viceira
Keywords: Investment Return; Bonds; Forecasting and Prediction; Inflation and Deflation
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  • 2013
  • Working Paper

Appendix to 'Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity'

By: Carolin E. Pflueger and Luis M. Viceira
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  • 2013
  • Working Paper

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

By: Carolin E. Pflueger and Luis M. Viceira
Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence... View Details
Keywords: Expectations Hypothesis; Term Structure; Real Interest Rate Risk; Inflation Risk; Inflation-Indexed Bonds; Financial Crisis; Inflation and Deflation; Financial Liquidity; Bonds; Investment Return; Risk and Uncertainty; United Kingdom; United States
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  • Article

Inflation-Indexed Bonds and the Expectations Hypothesis

By: Carolin E. Pflueger and Luis M. Viceira
This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the... View Details
Keywords: TIPS; Breakeven Inflation; Return Predictability; Bond Risk Premia; Risk Management; Bonds; Financial Liquidity; Inflation and Deflation; United Kingdom; United States
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  • 11 Sep 2018
  • First Look

New Research and Ideas, September 11, 2018

for a broad array of service domains where operations are hidden and levels of consumer trust and engagement are faltering. Download working paper: https://www.hbs.edu/faculty/Pages/item.aspx?num=45842 Macroeconomic Drivers of Bond and Equity Risks By: Campbell, John... View Details
Keywords: Dina Gerdeman
  • 29 Apr 2014
  • First Look

First Look: April 29

Competing platforms are affected negatively because more information intensifies price competition. Publisher's link: http://ssrn.com/abstract=2360263   Working Papers Monetary Policy Drivers of Bond and Equity Risks By: Campbell, John Y., View Details
Keywords: Sean Silverthorne
  • August 2020
  • Article

Macroeconomic Drivers of Bond and Equity Risks

By: John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Our new model of consumption-based habit generates time-varying risk premia on bonds and stocks from loglinear, homoskedastic macroeconomic dynamics. Consumers' first-order condition for the real risk-free bond generates an exactly loglinear consumption Euler equation,... View Details
Keywords: Consumption-based Habit Formation; Consumption Euler Equation; Time-varying Risk Premia; Inflation Dynamics; Bond-stock Correlation; Risk and Uncertainty; Bonds; Macroeconomics
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  • 27 Dec 2015
  • Research & Ideas

The Most Popular Stories and Research Papers of 2015

Microsoft, Intel, and Apple in the new book, Strategy Rules. Men Want Powerful Jobs More Than Women Do (32,083) While women and men believe they are equally able to attain high-level leadership positions, men want that power more than women do, according to research... View Details
  • 22 Feb 2022
  • News

An Rx for Small Business Recovery

suppliers—run with thin margins and minimal cash reserves, even in the best of times. “When COVID-19 hit, they felt the shock immediately,” Mills explains. Beginning in March 2020, the pandemic and unprecedented public health measures began to upend the economy. A... View Details
Keywords: Deborah Blagg