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- W3206354019 abstract "This study outlines an affine term structure model (ATSM) of TIPS that decomposes yields into real expected rates, real term premiums, and liquidity premiums. The estimation incorporates an observable liquidity factor that more comprehensively captures limits to arbitrage implied by yield curve fitting errors, strictly eschews non-market information to provide more relevant estimates for investors, and addresses factor persistence and small-sample bias, yet prices TIPS with linear regressions. The results imply counter-cyclical TIPS liquidity premiums as well as a steady secular decline in equilibrium real rates from July 1999 to August 2021, including a meaningful drop in the aftermath of Covid-19. Real required returns follow a similar downward path, and although mean real term premiums are positive, they do not appear to be counter-cyclical even across frequency bands, broadly consistent with a hedge." @default.
- W3206354019 created "2021-10-25" @default.
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- W3206354019 date "2021-01-01" @default.
- W3206354019 modified "2023-09-25" @default.
- W3206354019 title "Another Arbitrage-Free Affine Model of TIPS Yields with Embedded Liquidity Risk" @default.
- W3206354019 doi "https://doi.org/10.2139/ssrn.3927298" @default.
- W3206354019 hasPublicationYear "2021" @default.
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