EF, Centralna ekonomska knjižnica, Ljubljana (CEKLJ)
  • Tips from TIPS : the informational content of treasury inflation - protected security prices
    D'Amico, Stefania ; Kim, Don H. ; Wei, Min, 1975-
    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 of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.
    Vrsta gradiva - knjiga ; neleposlovje za odrasle
    Založništvo in izdelava - Basel (Switzerland) : Bank for International Settlements, 2008
    Jezik - angleški
    COBISS.SI-ID - 18443750

    Povezava(-e):

    http://www.bis.org/publ/work248.pdf?noframes=1

Signatura – lokacija, inventarna št. ... Status izvoda
Skladišče II 15142/08 gl. publikacijo
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