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Tips from TIPS: Update and Discussions
D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk premium, and TIPS liquidity premium over the 1983-present period. The model is also used to decompose nominal yields or forward rates into four components: expected real short rate, expected inflation, inflation risk premium, and real term premium.
Complete Metadata
| accessLevel | public |
|---|---|
| bureauCode |
[
"920:00"
]
|
| contactPoint |
{
"fn": "Katherine Tom",
"hasEmail": "mailto:ogda-data@frb.gov"
}
|
| description | D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk premium, and TIPS liquidity premium over the 1983-present period. The model is also used to decompose nominal yields or forward rates into four components: expected real short rate, expected inflation, inflation risk premium, and real term premium. |
| identifier | FRBC0012 |
| keyword |
[
"Capital markets",
"Data resource",
"Interest rates",
"Prices",
"U.S. Treasury securities"
]
|
| landingPage | https://www.federalreserve.gov/econres/notes/feds-notes/tips-from-tips-update-and-discussions-20190521.html |
| modified | R/P1M |
| programCode |
[
"920:000"
]
|
| publisher |
{
"name": "Board of Governors of the Federal Reserve System"
}
|
| title | Tips from TIPS: Update and Discussions |
