The TIPS Yield Curve and Inflation Compensation

• 成果类型: Article
• 署名作者: Guerkaynak, Refet S.; Sack, Brian; Wright, Jonathan H.
• 署名单位: Ihsan Dogramaci Bilkent University; Federal Reserve System - USA; Federal Reserve Bank - New York; Johns Hopkins University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.2.1.70
• 发表日期: 2010
• 页码: 70-92
• 关键词: bond market; STOCK

摘要

For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations. (JEL E31, E43, H63)