D'Amico, Stefania; Kim, Don H.; Wei, Min - Federal Reserve Board (Board of Governors of the … - 2008
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...