TIPS, Inflation Expectations, and the Financial Crisis

A. Andonov; F. Bardong; T. Lehnert

doi:10.2469/faj.v66.n6.1

TIPS, Inflation Expectations, and the Financial Crisis

A. Andonov^*
, F. Bardong
, T. Lehnert

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › Academic › peer-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 language	English
Pages (from-to)	27-39
Number of pages	13
Journal	Financial Analysts Journal
Volume	66
Issue number	6
DOIs	https://doi.org/10.2469/faj.v66.n6.1
Publication status	Published - 1 Jan 2010

Keywords

INTEREST-RATES
BONDS

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10.2469/faj.v66.n6.1

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title = "TIPS, Inflation Expectations, and the Financial Crisis",

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.",

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AU - Andonov, A.

AU - Bardong, F.

AU - Lehnert, T.

PY - 2010/1/1

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N2 - 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.

AB - 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.

KW - INTEREST-RATES

KW - BONDS

U2 - 10.2469/faj.v66.n6.1

DO - 10.2469/faj.v66.n6.1

M3 - Article

SN - 0015-198X

VL - 66

SP - 27

EP - 39

JO - Financial Analysts Journal

JF - Financial Analysts Journal

IS - 6

ER -

TIPS, Inflation Expectations, and the Financial Crisis

Abstract

Keywords

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