Investigating Excess Returns from Nominal Bonds*
发现名义债券的实际收益比通胀挂钩债券高出约200个基点，通过模型校准认为通胀风险溢价最多贡献50个基点，且超额收益不太可能源于持续的预期误差。
Abstract Estimated real returns on nominal bonds show excess returns of some 200 bp over their index‐linked equivalent. This paper considers two possible explanations for this large difference. First, we assess the likely inflation risk premium by calibrating a model of optimal bond prices under uncertainty. Employing either of CRRA or Abel (1990) relative consumption utility function to derive the stochastic discount factor and covariation risk, we suggest that the inflation risk component of this excess return is unlikely to be much above 50 bp. Secondly, we find little evidence that these excess returns can be ascribed to consistent expectational errors in predicting inflation.