Comments by Frederic S. Mishkin and Jonathan H. Wright

摘要

This paper by John Campbell, Robert Shiller, and Luis Viceira is excellent. Indeed, I would have titled it, "Everything You Always Wanted to Know about Inflation-Indexed Bond Markets, But Were Afraid to Ask." The paper documents many key facts and puzzles about this market, including the following:rn1. the decline in long-term real yields on inflation-indexed bonds from the 1990s;rn2. the instability of real yields and returns on these bonds during the recent financial crisis;rn3. the negative correlation of returns on these bonds with those on stock prices, indicating that these bonds can be used to hedge equity risk;rn4. the fact that real yields on these bonds differ in different countries;rn5. the fact that the expectations hypothesis view that long-term real yields are driven by expectations of short-term real interest rates is supported by the data.