Fleming, Michael J.; Krishnan, Neel - In: Economic Policy Review (2012) Mar, pp. 27-45
fully realized, mainly because TIPS are less liquid than nominal Treasury securities. The lack of liquidity is thought to … inflation risk. Despite the importance of TIPS liquidity and the market’s large size, there is virtually no quantitative … evidence on the securities’ liquidity. This article sheds light on this phenomenon using novel tick data from the interdealer …