Replication data for: The TIPS Yield Curve and Inflation Compensation

Principal Investigator(s):  View help for Principal Investigator(s) Refet S. Gürkaynak; Brian Sack; Jonathan H. Wright

Version:  View help for Version V1

Name File Type Size Last Modified
  2008-0110_data 10/26/2021 02:45:PM
LICENSE.txt text/plain 14.6 KB 12/07/2019 09:56:AM

Project Citation: 

Gürkaynak, Refet S., Sack, Brian, and Wright, Jonathan H. Replication data for: The TIPS Yield Curve and Inflation Compensation. Nashville, TN: American Economic Association [publisher], 2010. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-12-07. https://doi.org/10.3886/E116424V1

Project Description

Summary:  View help for Summary For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations. (JEL E31, E43, H63)

Scope of Project

Subject Terms:  View help for Subject Terms Inflation Compensation; Breakeven Inflation; Indexed Bonds; Real Yields; Yield Curve; TIPS; Term Structure
JEL Classification:  View help for JEL Classification
      E31 Price Level; Inflation; Deflation
      E43 Interest Rates: Determination, Term Structure, and Effects
      H63 National Debt; Debt Management; Sovereign Debt
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1999 – 1/1999 (Updated data at https://www.federalreserve.gov/data/tips-yield-curve-and-inflation-compensation.htm extends coverage to present.)
Data Type(s):  View help for Data Type(s) event/transaction data
Collection Notes:  View help for Collection Notes Updated data and notes available here: https://www.federalreserve.gov/data/tips-yield-curve-and-inflation-compensation.htm

Methodology

Data Source:  View help for Data Source Updated data available here: https://www.federalreserve.gov/data/tips-yield-curve-and-inflation-compensation.htm

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V1 [2019-12-07]

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