TIPS, Inflation Expectations, and the Financial Crisis
Posted: 10 Dec 2010 Last revised: 19 Dec 2010
Date Written: December 8, 2010
Abstract
The authors show that inefficiencies in the U.S. market for inflation-linked bonds can be exploited by informed traders who include survey estimates or inflation model forecasts in trades on break even inflation. The Treasury Inflation-Protected Securities market has yet to fulfill investors’ expectations as a low-risk, efficient, and liquid financial instrument.
Keywords: TIPS, Inflation Expectations, Survey of Professional Forecasters, Financial Crisis, Fixed Income, Trading Strategies and Their Assessment
JEL Classification: E31, E43, E44
Suggested Citation: Suggested Citation
Andonov, Aleksandar and Bardong, Florian and Lehnert, Thorsten, TIPS, Inflation Expectations, and the Financial Crisis (December 8, 2010). Financial Analysts Journal, Vol. 66, No. 6, 2010, Available at SSRN: https://ssrn.com/abstract=1722356
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