TIPS, Inflation Expectations, and the Financial Crisis

A. Andonov, F. Bardong, T. Lehnert

Research output: Contribution to journalArticleAcademicpeer-review

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 breakeven inflation. The Treasury Inflation-Protected Securities market has yet to fulfill investors' expectations as a low-risk, efficient, and liquid financial instrument.

Original languageEnglish
Pages (from-to)27-39
Number of pages13
JournalFinancial Analysts Journal
Volume66
Issue number6
DOIs
Publication statusPublished - 1 Jan 2010

Keywords

  • INTEREST-RATES
  • BONDS

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