Christensen, Jens H. E.; Gillan, James M. - Federal Reserve Bank of San Francisco - 2013
purchases of Treasury inflation-protected securities (TIPS). To quantify the effect QE2 had on the functioning of the TIPS … market and the related market for inflation swaps, we exploit the measure of combined liquidity premiums in TIPS yields and … inflation swap rates derived by Christensen and Gillan (2012). We find that, on TIPS purchase dates, the liquidity premium …