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The missing piece of the puzzle : liquidity premiums in inflation-indexed markets

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - 2017

Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...

Persistent link: https://www.econbiz.de/10011730002

Bond laddering and bond indexing : an empirical comparison

Cheung, C. Sherman; Miu, Peter - In: Financial services review : the journal of individual … 26 (2017) 2, pp. 181-203

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Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds

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Inflation co-movement across countries in multi-maturity term structure: an arbitrage-free approach

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What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?

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Return interval, dependence strucuture and multivariate normality

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Relative price uncertainty, wage indexation and the theory of indexed bonds

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Indexanleihen mit Kapitalgarantien : Darstellung, Bewertung und Analyse

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Outperformance-Zertifikate auf Aktienindizes in Fremdwährungsräumen

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