When Do TIPS Prices Adjust to Inflation Information?

Posted: 12 Apr 2011

See all articles by Quentin C Chu

Quentin C Chu

University of Memphis - Finance

Deborah N. Pittman

affiliation not provided to SSRN

Linda Q. Yu

University of Wisconsin - Whitewater - Finance and Business Law

Date Written: April 11, 2011

Abstract

This event study of market efficiency found that prices of Treasury Inflation-Protected Securities (TIPS) adjust to inflation information without delay during the U.S. Consumer Price Index (CPI) survey period and even before the beginning of the survey period. The cumulative effect of unexpected inflation on the TIPS holding period returns peaks at the end of the survey period. After the CPI announcement, there is no discernible price adjustment.

Keywords: Fixed Income, Fixed-Income Markets: Characteristics, Institutions, and Benchmarks, U.S. Treasury Securities, Macroeconomic Effects on Fixed-Income Yields: Inflation and Interest Rates, Term Structure Determination and Yield Spreads: U.S. Treasury Rates

Suggested Citation

Chu, Quentin C and Pittman, Deborah N. and Yu, Linda Q., When Do TIPS Prices Adjust to Inflation Information? (April 11, 2011). Financial Analysts Journal, Vol. 67, No. 2, 2011, Available at SSRN: https://ssrn.com/abstract=1807269

Quentin C Chu (Contact Author)

University of Memphis - Finance ( email )

United States

Deborah N. Pittman

affiliation not provided to SSRN ( email )

Linda Q. Yu

University of Wisconsin - Whitewater - Finance and Business Law ( email )

Whitewater, WI 53190
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
527
PlumX Metrics