TIPS, Inflation Expectations, and the Financial Crisis
Posted: 10 Dec 2010 Last revised: 19 Dec 2010
Date Written: December 8, 2010
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