Powered by OpenAIRE graph
Found an issue? Give us feedback
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/ eScholarship - Unive...arrow_drop_down
image/svg+xml art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos Open Access logo, converted into svg, designed by PLoS. This version with transparent background. http://commons.wikimedia.org/wiki/File:Open_Access_logo_PLoS_white.svg art designer at PLoS, modified by Wikipedia users Nina, Beao, JakobVoss, and AnonMoos http://www.plos.org/
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Financial Analysts Journal
Article . 2004 . Peer-reviewed
Data sources: Crossref
CFA Digest
Article . 2004 . Peer-reviewed
Data sources: Crossref
versions View all 4 versions
addClaim

Empirical TIPS

Authors: Roll, Richard;
Abstract

U.S. Treasury Inflation Protection Securities (TIPs) were first issued in January 1997. Through the end of 2002, eleven TIPs have been issued with maturities ranging from a few years through thirty years. One TIP bond has already matured. Returns on TIPs have been positively correlated with returns on nominal bonds and negatively correlated with equity returns over the past five years. TIPs real durations are longer than nominal bonds because their real yields are low. However, their effective nominal durations are much shorter because they are not as sensitive to changes in expected inflation. TIPs volatility has displayed marked variation over time. It was relatively low during 1999- 2000 and considerably higher during 2001-2002. This suggests that real interest rate volatility has increased recently. TIPs can be used to estimate the real yield curve. The real and nominal yield curves can then be combined to estimate the term structure of anticipated inflation. Because of their taxation, TIPs yields may not be entirely independent of inflation. Given plausible assumptions about future expected returns, an investment portfolio diversified across equities and nominal bonds would be improved by the addition of TIPs.

Country
United States
Keywords

330

  • BIP!
    Impact byBIP!
    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    52
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Top 10%
Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
52
Top 10%
Top 10%
Top 10%
Green