Prospective Real Returns in Fixed Income
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http://hdl.handle.net/11250/2580118Utgivelsesdato
2011Metadata
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Sammendrag
In this paper, we discuss the potential long-term real return implications of current yield levels in developed economies’ government bond markets. Treasury yields in the major economies are at or very close to their historical lows. Forward-looking measures of real yields based on inflation-indexed bonds or on surveys of long-term inflation expectations are depressed. From a strategic point of view, we must consider the longer-term implications of increased public indebtedness and unconventional monetary measures, such as quantitative easing, on our return expectations. Against this background, we conduct various decompositions of nominal yields into their real, inflation and risk premia components to assess the compensation that we can expect to receive for holding bonds over a five- to ten-year horizon.
Beskrivelse
This note was part of the NBIM memo ‘On fixed-income investments’ (March 2011).
Utgiver
Norges Bank Investment ManagementSerie
Discussion note;2/2011Diskusjonsnotat;2/2011