TIPS, Inflation Expectations, and the Financial Crisis

Posted: 10 Dec 2010 Last revised: 19 Dec 2010

See all articles by Aleksandar Andonov

Aleksandar Andonov

University of Amsterdam

Florian Bardong

BlackRock

Thorsten Lehnert

University of Luxembourg

Date Written: December 8, 2010

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 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

Andonov, Aleksandar and Bardong, Florian and Lehnert, Thorsten, TIPS, Inflation Expectations, and the Financial Crisis (December 8, 2010). Financial Analysts Journal, Vol. 66, No. 6, 2010. Available at SSRN: https://ssrn.com/abstract=1722356

Aleksandar Andonov (Contact Author)

University of Amsterdam ( email )

Plantage Muidergracht 12
Amsterdam, 1018 TV
Netherlands

HOME PAGE: http://www.aleksandarandonov.com

Florian Bardong

BlackRock ( email )

London
United Kingdom

Thorsten Lehnert

University of Luxembourg ( email )

6, rue Coudenhove-Kalergi
Luxembourg, L-1359
Luxembourg

Register to save articles to
your library

Register

Paper statistics

Abstract Views
776
PlumX Metrics