TIPS Liquidity Premium and Quantitative Easing

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Research output: Working paper › Discussion paper

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
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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
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BBC Radio York interview on the Chinese black Monday
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Invited seminar presentation at the Bank of England
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Research Seminar at the Centre for Finance, Credit and Macroeconomics (CFCM), University of Nottingham
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Projects

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

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By the same authors

Testing the predictive accuracy of COVID-19 forecasts

European spreads at the interest rate lower bound

International Stock Comovements with Endogenous Clusters

Comparing predictive accuracy in small samples using fixed-smoothing asymptotic

Testing the predictive accuracy of COVID-19 forecasts