[英文文献] The TIPS Liquidity Premium [推广有奖]

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私募证券864 发表于 2004-12-8 14:04:33 |AI写论文

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英文文献：The TIPS Liquidity Premium
英文文献作者：Martin M. Andreasen,Jens H.E. Christensen,Simon Riddell
英文文献摘要：
We introduce an arbitrage-free term structure model of nominal and real yields that accounts for liquidity risk in Treasury inflation-protected securities (TIPS). The novel feature of our model is to identify liquidity risk from individual TIPS prices by accounting for the tendency that TIPS, like most fixed-income securities, go into buy-and-hold investors' portfolios as time passes. We find a sizable and countercyclical TIPS liquidity premium, which greatly helps our model in matching TIPS prices. Accounting for liquidity risk also improves the model's ability to forecast inflation and match inflation surveys, although none of these series are included in the estimation.