Advanced Search
MyIDEAS: Login

Why are TIIS yields so high? The case of the missing inflation-risk premium

Contents:

Author Info

  • Ben Craig
Registered author(s):

    Abstract

    Treasury inflation-indexed securities are just like nominal Treasuries, except that their coupon and principal payments are indexed to inflation. The yield spread between the two types of securities should serve as a daily measurement of the market's perception of expected inflation, modified to reflect the cost of inflationary risk. But TIIS yields are about 60 basis points higher than expected. This Commentary examines several factors other than inflation that might raise TIIS yields relative to nominal Treasuries.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.clevelandfed.org/Research/commentary/2003/0315.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Federal Reserve Bank of Cleveland in its journal Economic Commentary.

    Volume (Year): (2003)
    Issue (Month): Mar ()
    Pages:

    as in new window
    Handle: RePEc:fip:fedcec:y:2003:i:mar15

    Contact details of provider:
    Postal: 1455 East 6th St., Cleveland OH 44114
    Phone: 216.579.2000
    Web page: http://www.clevelandfed.org/
    More information through EDIRC

    Order Information:
    Email:

    Related research

    Keywords: Inflation-indexed bonds ; Government securities;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Working Papers 04-43, Bank of Canada.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:fip:fedcec:y:2003:i:mar15. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lee Faulhaber).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.