کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5088426 1478310 2016 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The informational content of the embedded deflation option in TIPS
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
The informational content of the embedded deflation option in TIPS
چکیده انگلیسی
We estimate the value of the embedded option in U.S. Treasury Inflation-Protected Securities (TIPS). The embedded option value exhibits time variation that is correlated with periods of deflationary expectations. We construct embedded option explanatory variables that are statistically and economically significant for explaining future inflation, even in the presence of traditional inflation variables such as lagged inflation, the gold return, the crude oil return, the VIX return, liquidity, surveys, and the yield spread between nominal Treasuries and TIPS. After conducting robustness tests, we conclude that the TIPS embedded option contains useful information for future inflation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 65, April 2016, Pages 1-26
نویسندگان
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