The Information Content of Tips

20 Pages Posted: 4 Nov 2012

See all articles by Emilio Barone

Emilio Barone

Luiss - Guido Carli (Dpt. of Economics and Finance)

Antonio Castagna

Iason Ltd.

Date Written: March 1998

Abstract

On January 29th, 1997, an historical date for the U.S. Treasury, the first inflation-indexed Treasury notes, for a nominal value of 7 billion of dollars, have been auctioned. These securities are also called Tips (Treasury inflation-protected securities). Subsequently, the Chicago Board of Trade (CBOT) has proposed two contracts (a futures contract and a futures option) written on Tips. In this paper, after reviewing the characteristics of Tips and CBOT contracts, a pricing model is proposed.

Keywords: Treasury Inflation-Protected Securities, Cox-Ingersoll-Ross model, Siegel's paradox

JEL Classification: G12

Suggested Citation

Barone, Emilio and Castagna, Antonio, The Information Content of Tips (March 1998). Available at SSRN: https://ssrn.com/abstract=2170675 or http://dx.doi.org/10.2139/ssrn.2170675

Emilio Barone (Contact Author)

Luiss - Guido Carli (Dpt. of Economics and Finance) ( email )

Viale Romania, 32
Rome, 00197
Italy

HOME PAGE: http://docenti.luiss.it/barone/

Antonio Castagna

Iason Ltd. ( email )

7th Floor, Hume House
Dublin, 4
Ireland

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