TIPS Liquidity Premium and Quantitative Easing

We assess the effect of the QE2 program on the TIPS liquidity premium using a latent factor approach and a counterfactual exercise. In the context of a state-space model for nominal and TIPS yields, we identify the TIPS liquidity premium as the common component in TIPS yields that is unspanned by nominal yields. We then construct a counterfactual TIPS liquidity premium that exploits suitable conditioning information. Results indicate that the QE2 program had only limited effect on the TIPS liquidity premium

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Year of publication:	2018
Authors:	Coroneo, Laura
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Liquidität \| Liquidity \| Zinsstruktur \| Yield curve \| Risikoprämie \| Risk premium \| Quantitative Lockerung \| Quantitative easing \| Geldpolitik \| Monetary policy \| Indexanleihe \| Index-linked bond \| Handelsvolumen der Börse \| Trading volume

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Extent:	1 Online-Ressource (37 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2018 erstellt
Other identifiers:	10.2139/ssrn.2893213 [DOI]
Classification:	C33 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012934973