Abstract

An arbitrage-free model decomposes yields on Treasury Inflation-Protected Securities (TIPS) into expected real rates, real frictionless term premiums, and liquidity premiums. Estimation eschews non-market information, incorporates a novel observable liquidity factor, and addresses factor persistence and sample biases, including real-time estimation. Results include a modest secular decline in equilibrium real rates and a much larger drop in frictionless required excess real returns, on net, from July 1999 to September 2022. Real term premiums appear to be pro-cyclical, which implies that the default risk-free asset is a hedge, and some evidence suggests that TIPS liquidity premiums are counter-cyclical.

摘要

无套利模型将通胀保值国债 (TIPS) 的收益率分解为预期实际利率、实际无摩擦期限溢价和流动性溢价。估计避开了非市场信息，结合了一个新的可观察流动性因素，并解决了因素持久性和样本偏差问题，包括实时估计。结果包括从 1999 年 7 月到 2022 年 9 月均衡实际利率的适度长期下降和无摩擦所需超额实际回报的大幅下降。实际期限溢价似乎是顺周期的，这意味着违约无风险资产是一种对冲，一些证据表明 TIPS 流动性溢价是反周期的。