文章基本信息

标题：TIPS Liquidity Premium and Quantitative Easing
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作者：Laura Coroneo
期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2015
卷号：2015
出版社：University of York
摘要：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.
关键词：TIPS; Liquidity Premium; Factor models; Quantitative Easing