D'Amico, Stefania; Kim, Don H; Wei, Min - Bank for International Settlements (BIS) - 2008
structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium …-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy …