The TIPS-treasury bond puzzle

By Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig. 2014

252 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/83a9a7df48c55b2aa4fb8ab57668bb2e7a6e38c0

Citations in the corpus

• High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2018, unknown): “See Fleckenstein, Longstaff, and Lustig (2014) for an analysis of the differences between break-even inflation from TIPS and inflation swaps.”
• Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020, unknown): “Nevertheless, the “slow-moving capital” view of Duffie (2010) and Fleckenstein et al. (2014) could be relevant even for forward guidance if movements in risk premia are related to changes in expectations: for example, in the “unspanned factor models” of Duffee (2011) and Joslin, Priebsch, and Single”
• The U.S. Treasury Premium (2017, unknown): “At longer maturities, the conventional Treasury convenience yield measure is given by the yield spread between near risk-free agencies and Treasuries (for example, Fleckenstein et al. (2014), Negro et al.”
• The Voice of Monetary Policy (2021, unknown): “However, one could expect that the response may build over time, consistent with the notion of “slow-moving” capital proposed by Duffie (2010) and Fleckenstein et al. (2014).”