Pricing Inflation Swaps in the Japanese Bond Market

Jens Christensen, Mizla Shrestha and Mark Spiegel

FRBSF Economic Letter, 2026, vol. 2026, issue 29, 6

Abstract: Japanese government bond markets present a puzzling pattern. Unlike U.S. markets, where bond liquidity and other premiums have been shown to drive a wedge between prices of nominal U.S. Treasury securities and those of matching portfolios comprised of inflation-indexed bonds and derivative contracts, analysis shows no such wedge for similar asset combinations in Japanese markets.

Keywords: inflation swaps; Japan; bond markets; TIPS market (search for similar items in EconPapers)
Date: 2026
Note: Part of the Pacific Basin Notes series of publications from the Federal Reserve Bank of San Francisco
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