@techreport{NBERw15014,
 title = "Understanding Inflation-Indexed Bond Markets",
 author = "John Y. Campbell and Robert J. Shiller and Luis M. Viceira",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "15014",
 year = "2009",
 month = "May",
 URL = "http://www.nber.org/papers/w15014",
 abstract = {This paper explores the history of inflation-indexed bond markets in the US and the UK.  It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008.  Breakeven inflation rates, calculated from inflation- indexed and nominal government bond yields, stabilized until the fall of 2008, when they showed dramatic declines.  The paper asks to what extent short-term real interest rates, bond risks, and liquidity explain the trends before 2008 and the unusual developments in the fall of 2008.  Low inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for these bonds, that they provide a safe asset for long-term investors.  Governments should expect inflation-indexed bonds to be a relatively cheap form of debt financing going forward, even though they have offered high returns over the past decade.},
}