Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields by Brian Sack

Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields

Brian Sack

28 pages • missing pub info (view editions)

nonfiction politics
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Description

This paper derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for infl...

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