{"id":"https://openalex.org/W4229710465","doi":"https://doi.org/10.17016/feds.2008.30","title":"Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices","display_name":"Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices","publication_year":2008,"publication_date":"2008-06-01","ids":{"openalex":"https://openalex.org/W4229710465","doi":"https://doi.org/10.17016/feds.2008.30"},"language":"en","primary_location":{"id":"doi:10.17016/feds.2008.30","doi":"https://doi.org/10.17016/feds.2008.30","is_oa":true,"landing_page_url":"https://doi.org/10.17016/feds.2008.30","pdf_url":null,"source":{"id":"https://openalex.org/S4210212089","display_name":"Finance and Economics Discussion Series","issn_l":"1936-2854","issn":["1936-2854","2767-3898"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Economics Discussion Series","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://doi.org/10.17016/feds.2008.30","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5016254552","display_name":"Stefania D\u2019Amico","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1317239608","display_name":"Federal Reserve","ror":"https://ror.org/05fk5tr28","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Stefania D'Amico","raw_affiliation_strings":["Board of Governors of the Federal Reserve System (U.S.)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Board of Governors of the Federal Reserve System (U.S.)","institution_ids":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5056023629","display_name":"Don H. Kim","orcid":"https://orcid.org/0000-0002-5465-4419","observed_orcids":["https://orcid.org/0000-0002-5465-4419"]},"institutions":[{"id":"https://openalex.org/I1317239608","display_name":"Federal Reserve","ror":"https://ror.org/05fk5tr28","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Don H. Kim","raw_affiliation_strings":["Board of Governors of the Federal Reserve System (U.S.)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Board of Governors of the Federal Reserve System (U.S.)","institution_ids":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5100554025","display_name":"Min Wei","orcid":"https://orcid.org/0000-0002-6169-4603","observed_orcids":["https://orcid.org/0000-0002-6169-4603"]},"institutions":[{"id":"https://openalex.org/I1317239608","display_name":"Federal Reserve","ror":"https://ror.org/05fk5tr28","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Min Wei","raw_affiliation_strings":["Board of Governors of the Federal Reserve System (U.S.)"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Board of Governors of the Federal Reserve System (U.S.)","institution_ids":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.9904,"has_fulltext":false,"cited_by_count":24,"citation_normalized_percentile":{"value":0.96779201,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"2008.0","issue":"30","first_page":"1","last_page":"64"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7583000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.7583000063896179,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.16359999775886536,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.03220000118017197,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/treasury-inflation-protected-securities","display_name":"Treasury Inflation-Protected Securities","score":0.972000002861023},{"id":"https://openalex.org/keywords/liquidity-premium","display_name":"liquidity premium","score":0.7329999804496765},{"id":"https://openalex.org/keywords/inflation-expectations","display_name":"inflation expectations","score":0.9049999713897705},{"id":"https://openalex.org/keywords/term-structure-of-interest-rates","display_name":"term structure of interest rates","score":0.8299999833106995},{"id":"https://openalex.org/keywords/inflation-risk-premium","display_name":"inflation risk premium","score":0.8489999771118164},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.7039999961853027},{"id":"https://openalex.org/keywords/rational-pricing","display_name":"rational pricing","score":0.5720000267028809}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.7816290855407715},{"id":"https://openalex.org/C2780889827","wikidata":"https://www.wikidata.org/wiki/Q10756188","display_name":"Treasury","level":2,"score":0.7059800624847412},{"id":"https://openalex.org/C200941418","wikidata":"https://www.wikidata.org/wiki/Q273508","display_name":"Inflation (cosmology)","level":2,"score":0.6326663494110107},{"id":"https://openalex.org/C2780148112","wikidata":"https://www.wikidata.org/wiki/Q1432581","display_name":"Proxy (statistics)","level":2,"score":0.6115926504135132},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5888521671295166},{"id":"https://openalex.org/C151541453","wikidata":"https://www.wikidata.org/wiki/Q523022","display_name":"Risk premium","level":2,"score":0.5728572010993958},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.5535863637924194},{"id":"https://openalex.org/C154815372","wikidata":"https://www.wikidata.org/wiki/Q1140421","display_name":"Real interest rate","level":3,"score":0.5450272560119629},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.5202394723892212},{"id":"https://openalex.org/C190896228","wikidata":"https://www.wikidata.org/wiki/Q6557509","display_name":"Liquidity premium","level":4,"score":0.4869021475315094},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4188164472579956},{"id":"https://openalex.org/C175025494","wikidata":"https://www.wikidata.org/wiki/Q179179","display_name":"Interest rate","level":2,"score":0.36753249168395996},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3109949231147766},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.2263534963130951},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.07421234250068665},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C95457728","wikidata":"https://www.wikidata.org/wiki/Q309","display_name":"History","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C33332235","wikidata":"https://www.wikidata.org/wiki/Q18362","display_name":"Theoretical physics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.17016/feds.2008.30","doi":"https://doi.org/10.17016/feds.2008.30","is_oa":true,"landing_page_url":"https://doi.org/10.17016/feds.2008.30","pdf_url":null,"source":{"id":"https://openalex.org/S4210212089","display_name":"Finance and Economics Discussion Series","issn_l":"1936-2854","issn":["1936-2854","2767-3898"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Economics Discussion Series","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.17016/feds.2008.30","doi":"https://doi.org/10.17016/feds.2008.30","is_oa":true,"landing_page_url":"https://doi.org/10.17016/feds.2008.30","pdf_url":null,"source":{"id":"https://openalex.org/S4210212089","display_name":"Finance and Economics Discussion Series","issn_l":"1936-2854","issn":["1936-2854","2767-3898"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Finance and Economics Discussion Series","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":46,"referenced_works":["https://openalex.org/W1489068364","https://openalex.org/W1556295710","https://openalex.org/W1595145222","https://openalex.org/W1759595645","https://openalex.org/W1977336533","https://openalex.org/W1981157151","https://openalex.org/W1982466010","https://openalex.org/W1991509810","https://openalex.org/W1998031535","https://openalex.org/W2006808353","https://openalex.org/W2007357383","https://openalex.org/W2011886674","https://openalex.org/W2015800048","https://openalex.org/W2030775385","https://openalex.org/W2040941751","https://openalex.org/W2046519558","https://openalex.org/W2064545790","https://openalex.org/W2070666666","https://openalex.org/W2077252204","https://openalex.org/W2110220012","https://openalex.org/W2117753668","https://openalex.org/W2135047595","https://openalex.org/W2143455591","https://openalex.org/W2150786484","https://openalex.org/W2155797117","https://openalex.org/W2159723913","https://openalex.org/W2161496057","https://openalex.org/W2164761331","https://openalex.org/W2164777891","https://openalex.org/W2168511413","https://openalex.org/W2233901886","https://openalex.org/W2240915398","https://openalex.org/W2890843626","https://openalex.org/W3121270369","https://openalex.org/W3122921540","https://openalex.org/W3124222208","https://openalex.org/W3125050320","https://openalex.org/W3125127819","https://openalex.org/W3125149866","https://openalex.org/W3125419804","https://openalex.org/W3125755468","https://openalex.org/W3126059558","https://openalex.org/W4205202763","https://openalex.org/W4238761448","https://openalex.org/W4300567850","https://openalex.org/W6609080492"],"related_works":["https://openalex.org/W2619415170","https://openalex.org/W2168264897","https://openalex.org/W1504339812","https://openalex.org/W4302325193","https://openalex.org/W2121937499","https://openalex.org/W2589881272","https://openalex.org/W3124040135","https://openalex.org/W3206354019","https://openalex.org/W1569986009","https://openalex.org/W2219280692"],"abstract_inverted_index":{"We":[0],"examine":[1],"the":[2,9,71,80,83,91,100,107,114,119],"informational":[3],"content":[4],"of":[5,11,19,44,82],"TIPS":[6,29,59,84,94,101,122],"yields":[7,30],"from":[8],"viewpoint":[10],"a":[12,32,53,74,127],"general":[13],"3-factor":[14],"no-arbitrage":[15],"term":[16],"structure":[17],"model":[18],"inflation":[20,76,86,110,124,131],"and":[21,93],"interest":[22],"rates.":[23],"Our":[24],"empirical":[25],"results":[26],"indicate":[27],"that":[28,35,58,121],"contained":[31],"'liquidity":[33],"premium'":[34],"was":[36],"until":[37],"recently":[38],"quite":[39],"large":[40],"(~1%).":[41],"Key":[42],"features":[43],"this":[45],"premium":[46,78],"are":[47,126],"difficult":[48],"to":[49,106,118],"account":[50],"for":[51,130],"in":[52,66,99,109],"rational":[54],"pricing":[55],"framework,":[56],"suggesting":[57],"may":[60],"not":[61],"have":[62],"been":[63],"priced":[64],"efficiently":[65],"its":[67],"early":[68],"years.":[69],"Besides":[70],"liquidity":[72],"premium,":[73],"time-varying":[75],"risk":[77],"complicates":[79],"interpretation":[81],"breakeven":[85,102,123],"rate":[87],"(the":[88],"difference":[89],"between":[90],"nominal":[92],"yields).":[95],"Nonetheless,":[96],"high-frequency":[97],"variation":[98,108],"rates":[103,125],"is":[104],"similar":[105],"expectations":[111],"implied":[112],"by":[113],"model,":[115],"lending":[116],"support":[117],"view":[120],"useful":[128],"proxy":[129],"expectations.":[132]},"counts_by_year":[{"year":2023,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":4}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2022-05-11T00:00:00"}
