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dc.contributor.authorCampbell, John Y.
dc.date.accessioned2013-07-25T15:35:49Z
dc.date.issued2009
dc.identifier.citationCampbell, John Y. 2009. The changing role of nominal government bonds in asset allocation. Geneva Risk and Insurance Review 34(2): 89-104.en_US
dc.identifier.issn1554-964Xen_US
dc.identifier.urihttp://nrs.harvard.edu/urn-3:HUL.InstRepos:10884856
dc.description.abstractThe covariance between nominal bonds and stocks has varied considerably over recent decades and has even switched sign. It has been predominantly positive in periods such as the late 1970s and early 1980s when the economy has experienced supply shocks and the central bank has lacked credibility. It has been predominantly negative in periods such as the 2000s when investors have feared weak aggregate demand and deflation. Nominal bonds are attractive to short-term equity investors when these bonds are negatively correlated with stocks, as has been the case during the 2000s and especially during the downturn of 2007–2008. They are attractive to conservative long-term investors when long-term inflationary expectations are stable, for then these bonds are close substitutes for inflation-indexed bonds that are riskless in the long term.en_US
dc.description.sponsorshipEconomicsen_US
dc.language.isoen_USen_US
dc.publisherPalgrave Macmillanen_US
dc.relation.isversionofdoi:10.1057/grir.2009.7en_US
dash.licenseOAP
dc.subjectmean-variance analysisen_US
dc.subjectlong-term investingen_US
dc.subjecttime-varying risken_US
dc.titleThe Changing Role of Nominal Government Bonds in Asset Allocationen_US
dc.typeJournal Articleen_US
dc.description.versionAccepted Manuscripten_US
dc.relation.journalGeneva Risk and Insurance Reviewen_US
dash.depositing.authorCampbell, John Y.
dc.date.available2013-07-25T15:35:49Z
dc.identifier.doi10.1057/grir.2009.7*
dash.contributor.affiliatedCampbell, John


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