Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

John Y. Campbell, Adi Sunderam, Luis M. Viceira

NBER Working Paper No. 14701
Issued in February 2009

---- Acknowledgements -----

We are grateful to Geert Bekaert, Jesus Fernandez-Villaverde, Wayne Ferson, Javier Gil-Bazo, Pablo Guerron, John Heaton, Ravi Jagannathan, Jon Lewellen, Monika Piazzesi, Pedro Santa-Clara, George Tauchen, and seminar participants at the 2009 Annual Meeting of the American Finance Association, Bank of England, European Group of Risk and Insurance Economists 2008 Meeting, Harvard Business School Finance Unit Research Retreat, Imperial College, Marshall School of Business, NBER Fall 2008 Asset Pricing Meeting, Norges Bank, Society for Economic Dynamics 2008 Meeting, Stockholm School of Economics, Tilburg University, Tuck Business School, and Universidad Carlos III in Madrid for hepful comments and suggestions. This material is based upon work supported by the National Science Foundation under Grant No. 0214061 to Campbell, and by Harvard Business School Research Funding. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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