Test of a quadratic relationship between the yield of TIPS and the federal funds rate

This article examines the potential impacts of monetary policy on the yield of Treasury inflation-protected securities (TIPS). A quadratic relationship is confirmed for all four types of TIPS. It suggests that Fed easing would not lower TIPS yields when the federal funds rate is below certain critical values whereas Fed tightening would raise TIPS yields when the federal funds rate is greater than certain critical values.

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Year of publication:	2008
Authors:	Hsing, Yu
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 3, p. 213-216
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988377