Tips from TIPS: Update and Discussions
Description
D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk premium, and TIPS liquidity premium over the 1983-present period. The model is also used to decompose nominal yields or forward rates into four components: expected real short rate, expected inflation, inflation risk premium, and real term premium.
Resources
| Name |
Format |
Description |
Link |
Tags
- data-resource
- prices
- u-s-treasury-securities
- interest-rates
- frs-research-data
- capital-markets