TIPS Liquidity Premium and Quantitative Easing

By the same authors

International Stock Comovements with Endogenous Clusters
Coroneo, L., Owyang, M. & Jackson, L., 1 Dec 2018, (Working Papers ; vol. 2018, no. 38).
Research output: Working paper
Dynamic Linkages Across Country Yield Curves: The Effects of Global and Local Yield Curve Factors on US, UK and German Yields
Coroneo, L., Garrett, I. & Sanhueza, J., 19 Aug 2018, New Methods in Fixed Income Modeling: Contributions to Management Science. SPRINGER, p. 205-222
Research output: Chapter in Book/Report/Conference proceeding › Chapter (peer-reviewed)
Testing for Optimal Monetary Policy via Moment Inequalities
Coroneo, L., Corradi, V. & Santos Monteiro, P., 6 Jun 2018
Article in Journal of Applied Econometrics
Comparing predictive accuracy in small samples
Coroneo, L. & Iacone, F., Sep 2015, Department of Economics and Related Studies, University of York, 26 p. (Discussion Paper in Economics; vol. 15, no. 15).
Research output: Working paper › Discussion paper
Unspanned macroeconomic factors in the yield curve
Coroneo, L., Giannone, D. & Modugno, M., 2015
Article in Journal of Business and Economic Statistics

Research output: Working paper › Discussion paper

Author(s)

Laura Coroneo

Department/unit(s)

Economics

Publication details

Date	Published - Oct 2015
Publisher	Department of Economics and Related Studies, University of York
Number of pages	32
Original language	English

Publication series

Name	Edit Discussion Paper in Economics
No.	23
Volume	15

Abstract

In the context of a state-space model for nominal and TIPS yields, we identify the liquidity premium in the TIPS market as the common component in TIPS yields unspanned by nominal yields. Using daily US yields, we find that the TIPS liquidity premium explains up to 22% of the variation in TIPS yields and that it sharply spiked during the recent financial crisis. A counterfactual exercise shows that the QE2 program had only limited effects on the liquidity premium in the TIPS market.

Research areas

TIPS, Quantitative Easing, Liquidity Premium, Factor models

Activities

Financial Econometrics & Empirical Asset Pricing Conference
Activity: Participating in or organising an event › Conference participation
2016 EEA-ESEM Congress
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Money Macro and Finance Research Group Annual Conference
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10th International Conference on Computational and Financial Econometrics
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Conference on Macroeconomic, Financial and International Linkages
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11th BMRC/DEMS Conference
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RCEA MONEY-MACRO-FINANCE WORKSHOP
Activity: Participating in or organising an event › Seminar/workshop/course
BBC Radio York interview on the Chinese black Monday
Activity: Other › Media (Radio)
Invited seminar presentation at the Bank of England
Activity: Talk or presentation › Seminar
Research Seminar at the Centre for Finance, Credit and Macroeconomics (CFCM), University of Nottingham
Activity: Talk or presentation › Seminar

Projects

Modelling government bonds: macroeconomic, financial and international linkages
Project: Research project (funded) › Research

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By the same authors

International Stock Comovements with Endogenous Clusters

Dynamic Linkages Across Country Yield Curves: The Effects of Global and Local Yield Curve Factors on US, UK and German Yields

Testing for Optimal Monetary Policy via Moment Inequalities

Comparing predictive accuracy in small samples

Unspanned macroeconomic factors in the yield curve