Breakeven Inflation - Publications - Faculty & Research

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Inflation-Indexed Bonds and the Expectations Hypothesis

By: Carolin E. Pflueger and Luis M. Viceira

This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the... View Details

Keywords: TIPS; Breakeven Inflation; Return Predictability; Bond Risk Premia; Risk Management; Bonds; Financial Liquidity; Inflation and Deflation; United Kingdom; United States

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22 Mar 2011
First Look

First Look: March 22

Securities (TIPS) from the co-movement of breakeven inflation with liquidity proxies. The liquidity premium is around 70 basis points in normal times, but much larger during the early years of TIPS issuance... View Details

Keywords: Sean Silverthorne

06 Sep 2022
Research & Ideas

Curbing an Unlikely Culprit of Rising Drug Prices: Pharmaceutical Donations

ripple through the balance sheets of businesses and households alike. Indeed, after years of debate, Congress recently took aim at drug prices through provisions in the Inflation Reduction Act. But there are many systemic factors leading... View Details

Keywords: by Ben Rand; Insurance; Health; Pharmaceutical

10 Jan 2012
First Look

First Look: January 10

bonds varies predictably over time. We also find strong evidence that the spread between the nominal and the real bond risk premium, or the breakeven inflation risk premium, also varies over time. We argue... View Details

Keywords: Sean Silverthorne

30 Jun 2009
First Look

First Look: June 30

inflation-indexed bond markets in the U.S. and the U.K. It documents a massive decline in long-term real interest rates from the 1990s until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven... View Details

Keywords: Martha Lagace

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