Tips from TIPS: Update and Discussions

Published by Board of Governors of the Federal Reserve System | Board of Governors of the Federal Reserve System | Metadata Last Checked: June 26, 2025 | Last Modified: R/P1M

D'Amico, Kim, and Wei use a no-arbitrage term structure model to decompose TIPS inflation compensation into three components: inflation expectation, inflation risk premium, and TIPS liquidity premium over the 1983-present period. The model is also used to decompose nominal yields or forward rates into four components: expected real short rate, expected inflation, inflation risk premium, and real term premium.

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Complete Metadata

bureauCode	[ "920:00" ]
identifier	FRBC0012
landingPage	https://www.federalreserve.gov/econres/notes/feds-notes/tips-from-tips-update-and-discussions-20190521.html
programCode	[ "920:000" ]