Test of a quadratic relationship between the yield of TIPS and the federal funds rate

References

• Bernanke , B , Reinhart , V and Sack , B . 2005 . Monetary policy alternatives at the zero bound: an empirical assessment . Brookings Papers on Economic Activity , 2 : 1 – 78 .
   Google Scholar
• Campbell , JY and Shiller , RJ . 1996 . A scorecard for indexed government debt National Bureau of Economic Research, Inc, NBER Working Papers: 5587
   Google Scholar
• Gong , FF and Remolona , EM . 1996 . Inflation risk in the U.S. yield curve: the usefulness of indexed bonds Federal Reserve Bank of New York, Research Paper: 9637
   Google Scholar
• Greenspan , A . 2005 . Federal Reserve Board's semiannual monetary policy report to the Congress before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate, February 16
   Google Scholar
• Gulley , OD and Sultan , J . 2003 . The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract . Applied Financial Economics , 13 : 199 – 209 .
   Google Scholar
• Kitamura , Y . 2004 . Information content of inflation-indexed bond prices: evaluation of U.S. treasury inflation-protection securities . Monetary and Economic Studies , 22 : 115 – 43 .
   Google Scholar
• Kozicki , S and Sellon , G . 2005 . Longer-term perspectives on the yield curve and monetary policy . Federal Reserve Bank of Kansas City Economic Review , 90 : 5 – 33 .
   Google Scholar
• Kuttner , KN . 2001 . Monetary policy surprises and interest rates: evidence from the fed funds futures market . Journal of Monetary Economics , 47 : 523 – 44 .
   Web of Science ®Google Scholar
• Laatsch , FE and Klein , DP . 2003 . Nominal rates, real rates, and expected inflation: results from a study of U.S. treasury inflation-protected securities . Quarterly Review of Economics and Finance , 43 : 405 – 17 .
   Google Scholar
• Newey , WK and West , KD . 1987 . A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 8 .
   Web of Science ®Google Scholar
• Rudebusch , GD , Swanson , ET and Wu , T . 2006 . The bond yield ‘conundrum’ from a macro-finance perspective Federal Reserve Bank of San Francisco, Working Paper Series: 2006–16
   Google Scholar
• Rudebusch , GD and Wu , T . 2004 . A macro-finance model of the term structure monetary policy, and the economy, Federal Reserve Bank of San Francisco Working Paper
   Google Scholar
• Sack , B . 2003 . A monetary policy rule based on nominal and inflation-indexed treasury yields Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series: 2003–07
   Google Scholar
• Sack , B and Elsasser , R . 2002 . Treasury inflation-indexed debt: a review of the U.S. experience Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series: 2002–32
   Google Scholar
• Shen , P . 2006 . Liquidity risk premia and breakeven inflation rates . Federal Reserve Bank of Kansas City Economic Review , second quarter : 29 – 54 .
   Google Scholar
• Taylor , N . 2000 . US inflation-indexed bonds in the long run: a hypothetical view . Applied Financial Economics , 10 : 667 – 77 .
   Google Scholar
• Wilcox , DW . 1998 . Policy watch: the introduction of indexed government debt in the United States . Journal of Economic Perspectives , 12 : 219 – 27 .
   Web of Science ®Google Scholar