Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - Federal Reserve Board (Board of Governors of the … - 2011
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of … traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX …