EconPapers    
Economics at your fingertips  
 

A model-independent maximum range for the liquidity correction of TIPS yields

Jens Christensen and James M. Gillan

No 2011-16, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: We derive a model-independent maximum range for the admissible liquidity risk premium in real Treasury bonds?also known as Treasury Inflation Protected Securities (TIPS). The range is constructed using additional information in the inflation swap market and a set of simple theoretical assumptions. As an application, we construct a lower bound to estimates of the inflation risk premium the Treasury receives from TIPS by deducting their maximum liquidity premium. This conservative measure of the benefit to the Treasury of issuing TIPS is positive on average at the ten-year maturity for our sample period.

Keywords: Inflation (Finance); Inflation-indexed bonds (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.frbsf.org/publications/economics/papers/2011/wp11-16bk.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfwp:2011-16

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Paper Series from Federal Reserve Bank of San Francisco Contact information at EDIRC.
Bibliographic data for series maintained by Federal Reserve Bank of San Francisco Research Library ().

 
Page updated 2025-03-31
Handle: RePEc:fip:fedfwp:2011-16