Do Fed TIPS purchases affect market liquidity?

Jens Christensen and James M. Gillan

FRBSF Economic Letter, 2012, issue mar5

Abstract: The second round of Federal Reserve large-scale asset purchases, from November 2010 to June 2011, included regular purchases of Treasury inflation-protected securities, or TIPS. An analysis of liquidity premiums indicates that the functioning of the TIPS market and the related inflation swap market improved both on the days the Fed purchased TIPS and over the course of the LSAP program. Thus, TIPS purchases had liquidity benefits beyond the effect they may have had in reducing Treasury yields.

Keywords: Liquidity (Economics); Inflation (Finance); Inflation-indexed bonds - United States (search for similar items in EconPapers)
Date: 2012
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