| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16358 |
| 来源ID | Working Paper 16358 |
| Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle | |
| Matthias Fleckenstein; Francis A. Longstaff; Hanno Lustig | |
| 发表日期 | 2010-09-09 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We show that the price of a Treasury bond and an inflation-swapped TIPS issue exactly replicating the cash flows of the Treasury bond can differ by more than $20 per $100 notional. Treasury bonds are almost always overvalued relative to TIPS. Total TIPS-Treasury mispricing has exceeded $56 billion, representing nearly eight percent of the total amount of TIPS outstanding. TIPS-Treasury mispricing is strongly related to supply factors such as Treasury debt issuance and the availability of collateral in the financial markets, and is correlated with other types of fixed-income arbitrages, These results pose a major puzzle to classical asset pricing theory. In addition, they raise the issue of why the Treasury issues TIPS, since in so doing it both gives up a valuable fiscal hedging option and leaves large amounts of money on the table. |
| 主题 | Macroeconomics ; Fiscal Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16358 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574033 |
| 推荐引用方式 GB/T 7714 | Matthias Fleckenstein,Francis A. Longstaff,Hanno Lustig. Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16358.pdf（334KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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