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Tips from TIPS : the informational content of Treasury Inflation-Protected Security prices

D'Amico, Stefania; Kim, Don H.; Wei, Min - 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...

Persistent link: https://www.econbiz.de/10003830152