D'Amico, Stefania; Kim, Don H.; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2010
TIPS breakeven inflation rate, defined as the difference between nominal and TIPS yields of comparable maturities, is … potentially useful as a real-time measure of market inflation expectations. In this paper, we provide evidence that a fairly large … and TIPS yields, inflation and survey forecasts of interest rates. Ignoring the TIPS liquidity premiums leads to …