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The Journal of Fixed Income

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Primary Article

TIPS, Break-Even Inflation, and Inflation Forecasts

Florian Bardong and Thorsten Lehnert
The Journal of Fixed Income Winter 2004, 14 (3) 15-35; DOI: https://doi.org/10.3905/jfi.2004.461449
Florian Bardong
A Ph.D. candidate in the department of accounting and finance at Lancaster University Management School in the U.K.
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  • For correspondence: f.bardong@lancaster.ac.uk
Thorsten Lehnert
An assistant professor of finance in the Limburg Institute of Financial Economics at Maastricht University in The Netherlands.
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  • For correspondence: t.lehnert@berfin.unimaas.nl
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Abstract

This study investigates the efficiency of the U.S. market for inflation-indexed government bonds using a signal based on inflation forecasts and evaluating the effectiveness of several trading strategies to provide abnormal returns. The market for U.S. TIPS offers the possibility to obtain excess returns if information about future inflation is combined with a trading strategy speculating on the movement of break-even inflation. These results are fairly consistent over time for the shorter maturity. Index-linked government bonds can be considered an asset class with idiosyncratic characteristics that make them an important part of an investment portfolio.

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The Journal of Fixed Income
Vol. 14, Issue 3
Winter 2004
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TIPS, Break-Even Inflation, and Inflation Forecasts
Florian Bardong, Thorsten Lehnert
The Journal of Fixed Income Dec 2004, 14 (3) 15-35; DOI: 10.3905/jfi.2004.461449

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TIPS, Break-Even Inflation, and Inflation Forecasts
Florian Bardong, Thorsten Lehnert
The Journal of Fixed Income Dec 2004, 14 (3) 15-35; DOI: 10.3905/jfi.2004.461449
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