Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

TIPS are notes and bonds issued by the U.S. Treasury with coupons and principal payments indexed to inflation. Using no-arbitrage term structure models, we show that TIPS yields contained liquidity premiums as large as 100 basis points when TIPS were first issued, reflecting the newness of the instr...

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Veröffentlicht in:	Finance and economics discussion series 2014, Vol.2014 (24), p.1-76
Hauptverfasser:	D'Amico, Stefania, Kim, Don H., Wei, Min
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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