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Real rates, expected inflation, and inflation risk premia

Evans, Martin D. D. - In: The journal of finance : the journal of the American … 53 (1998) 1, pp. 187-218

Persistent link: https://www.econbiz.de/10001235489

Liquidity risk premia and breakeven inflation rates

Shen, Pu - In: Economic review 91 (2006) 2, pp. 29-54

Persistent link: https://www.econbiz.de/10003377190

Tips from TIPS : the informational content of Treasury Inflation-Protected Security prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2008

Persistent link: https://www.econbiz.de/10003675580

The role of inflation-linked debt in US government finances

Rauh, Joshua - 2023

Persistent link: https://www.econbiz.de/10014476587

Tips from TIPS : the informational content of Treasury Inflation-Protected Security prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 2008

We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (1%). Key features...

Persistent link: https://www.econbiz.de/10003830152