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
KFdata.xls	application/vnd.ms-excel	352.5 KB	12/07/2019 09:56:AM
Refcorpandvoldata.xls	application/vnd.ms-excel	398 KB	12/07/2019 09:56:AM
datafortable2.xls	application/vnd.ms-excel	1.5 MB	12/07/2019 09:56:AM
forfigs.xls	application/vnd.ms-excel	914 KB	12/07/2019 09:56:AM
kfilt.m	text/plain	3.3 KB	12/07/2019 09:56:AM
makefig1.m	text/plain	1.2 KB	12/07/2019 09:56:AM
makefig10.m	text/plain	294 bytes	12/07/2019 09:56:AM
makefig4.m	text/plain	1.2 KB	12/07/2019 09:56:AM
makefig5.m	text/plain	782 bytes	12/07/2019 09:56:AM
makefig6.m	text/plain	1.4 KB	12/07/2019 09:56:AM

Project Description

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: [Inflation Compensation, Breakeven Inflation, Indexed Bonds, Real Yields, Yield Curve, TIPS, Term Structure]

JEL Classification:
      E31 Price Level; Inflation; Deflation
      E43 Interest Rates: Determination, Term Structure, and Effects
      H63 National Debt; Debt Management; Sovereign Debt

Geographic Coverage: United States

Data Type(s): event/transaction data

Collection Notes: Updated data and notes available here: https://www.federalreserve.gov/data/tips-yield-curve-and-inflation-compensation.htm

Methodology

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

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Published Versions

V1 [2019-12-07]

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