D'Amico, Stefania; Kim, Don H.; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2014
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...