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| Author: | Briére, M. Signori, O. |
| Title: | Do inflation-linked bonds still diversify? |
| Journal: | European Financial Management
2009 : MAR, VOL. 15:2, p. 279-297 |
| Index terms: | allocation diversification inflation portfolio investment volatility |
| Language: | eng |
| Abstract: | There has been a significatn change in the diversifying power of inflation-linked (IL) bonds relative to traditional asset classes. This article studies the dynamics of conditional volatilities and correlations for three asset classes, IL bonds, nominal bonds and equities, in USA and Europe. A DCC-MVGARCH is used for the period 1997-2007 is used to highlight the change that took place in 2003. Although IL bonds once had definite diversification power, they are now highly correlated with nominal bonds and have reached similar volatility levels. |
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