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Tips from TIPS : the informational content of treasury inflation - protected security prices
D'Amico, Stefania (Avtor), Kim, Don H. (Avtor), Wei, Min (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work248.pdf?noframes=1 Povezava se odpre v novem oknu

Izvleček
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.

Jezik:Angleški jezik
Ključne besede:monetarna politika, zakladna menica, inflacija, tveganje, zavarovanje, donos, obrestna mera, cena, monetary policy, treasury bill, inflation, risk, insurance, yield, interest rate, price
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2008
Založnik:Bank for International Settlements
Št. strani:V, 42 str.
Kraj:Basel (Switzerland)
UDK:336
COBISS.SI-ID:18443750 Povezava se odpre v novem oknu
Število ogledov:546
Število prenosov:148
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
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