TY  - UNPD
A1  - Driessen, Joost
A1  - Nijman, Theodore E.
A1  - Simon, Zorka
T1  - The missing piece of the puzzle : liquidity premiums in inflation-indexed markets
T2  - SAFE working paper series ; No. 183
N2  - Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US data, we show that the level of liquidity affects TIPS, whereas swap yields include a liquidity risk premium. We also allow for liquidity effects in nominal bonds. These results are based on a model with a systematic liquidity risk factor and asset-specific liquidity characteristics. We show that these liquidity (risk) premiums explain a substantial part of the TIPS underpricing.
T3  - SAFE working paper - 183 
KW  - Liquidity premium
KW  - liquidity risk
KW  - TIPS
KW  - inflation swaps
KW  - TIPS–Treasury puzzle
Y1  - 2017
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/43875
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-438750
UR  - https://ssrn.com/abstract=3042506
IS  - September 25, 2017
PB  - SAFE
CY  - Frankfurt am Main
ER  -