Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
---- Acknowledgements -----
We thank Tom Powers and Haibo Jiang for excellent research assistance. We are grateful to John Campbell, Kent Daniel, Graig Fantuzzi, Peter Feldhutter, Michael Fleming, Josh Gottlieb, Robin Greenwood, Arvind Krishnamurthy, George Pennacchi, Michael Pond, Matthew Richardson, Josephine Smith, Jeremy Stein, to seminar participants at the NBER Summer Institute 2011, the Econometric Society Winter Meeting 2011, the Federal Reserve Board, the European Central Bank, the New York Federal Reserve, the Foster School of Business at the U. of Washington, the HBS-Harvard Economics Finance Lunch and the HBS Finance Research Day for helpful comments and suggestions. We are also grateful to Martin Duffell and Anna Christie from the U.K. Debt Management Office for their help providing us with U.K. bond data. This material is based upon work supported by the Harvard Business School Research Funding. This paper was previously circulated under the title "An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds". The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.