Diversification benefits of three "hot" asset classes-Commodity, Real Estate Investment Trusts (REITs), and Treasury Inflation-Protected Securities (TIPS)- are well-studied on an individual basis and in a static setting. Using data from 1970 to 2010, this paper documents both that the three...

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of...

This paper estimates the inflation risk premium using data on prices of Treasury inflation-protected securities (TIPS) over the period 2000-2008. The estimation approach used is arbitrage free, largely model free, and easy to implement. It also distinguishes between TIPS yields and real yields...