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 language | English |
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Pages (from-to) | 27-39 |
Number of pages | 13 |
Journal | Financial Analysts Journal |
Volume | 66 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Jan 2010 |
Keywords
- INTEREST-RATES
- BONDS