Return to search results
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.
Find Related Datasets
Search by Tags
Click any tag below to search for similar datasets
Complete Metadata
| @type | dcat:Dataset |
|---|---|
| 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 |
