The TIPS-Treasury Bond Puzzle

• 成果类型: Article
• 署名作者: Fleckenstein, Matthias; Longstaff, Francis A.; Lustig, Hanno
• 署名单位: National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12032
• 发表日期: 2014
• 页码: 2151-2197
• 关键词: CORPORATE YIELD SPREADS; term structure; inflation-expectations; Liquidity premium; risk premia; REAL RATES; default; MARKETS; sovereign; Swaps

摘要

We show that the price of a Treasury bond and an inflation-swapped Treasury Inflation-Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56 billion, representing nearly 8% of the total amount of TIPS outstanding. We find direct evidence that the mispricing narrows as additional capital flows into the markets. This provides strong support for the slow-moving-capital explanation of arbitrage persistence.