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Pricing TIPS and treasuries with linear regressions

Abrahams, Michael; Adrian, Tobias; Crump, Richard K.; … - 2012

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS' relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The...

Persistent link: https://www.econbiz.de/10009624301

Inflation expectations, real rates, and risk premia : evidence from inflation swaps

Haubrich, Joseph Gerard; Pennacchi, George G.; … - In: The review of financial studies 25 (2012) 5, pp. 1588-1629

Persistent link: https://www.econbiz.de/10009536409

Inflation risk premium : evidence from the TIPS market

Grishchenko, Olesya V.; Huang, Jing-Zhi - 2012

Persistent link: https://www.econbiz.de/10009546875

Estimating inflation expectations with a limited number of inflation-indexed bonds

Finlay, Richard; Wende, Sebastian - In: International journal of central banking : IJCB 8 (2012) 2, pp. 111-142

Persistent link: https://www.econbiz.de/10009634295

Inflation expectations, real rates, and risk premia : evidence from inflation swaps

Haubrich, Joseph Gerard; Pennacchi, George G.; … - 2011

an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model’s parameters are …

Persistent link: https://www.econbiz.de/10008903400

Inflation-indexed bonds and the expectations hypothesis

Pflueger, Carolin E.; Viceira, Luis M. - 2011

"This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the US and in the UK. We strongly reject the EH in inflation-indexed bonds, and also confirm and update the existing evidence rejecting the EH in nominal bonds. This...