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Article

An Ex Post Performance Analysis of the TIPS Program

Dave Chung, Colin Kim and Allen X. Zhang
The Journal of Fixed Income Spring 2013, 22 (4) 31-47; DOI: https://doi.org/10.3905/jfi.2013.22.4.031
Dave Chung
is a financial economist at the Office of Debt Management at the Department of the Treasury in Washington, DC.
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  • For correspondence: won.chung@treasury.gov
Colin Kim
is the director of the Office of Debt Management at the Department of the Treasury in Washington, DC.
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  • For correspondence: colin.kim@treasury.gov
Allen X. Zhang
is head of Quantitative Strategies at the Office of Debt Management at the Department of the Treasury in Washington, DC.
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  • For correspondence: xiaopeng.zhang@treasury.gov
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Abstract

This article extends the methodology in Sack and Elsasser [2004] and Roush [2007] to define and measure the performance of the Treasury inflation-protected securities (TIPS) program in terms of the relative cost over issuing equivalent nominal securities. The relative cost is driven by the change of the breakeven inflation and, in particular, that of the liquidity-adjusted inflation risk premium when the inflation expectation is stable. We use all 96 TIPS issuances since the inception of the program (January 1997) to June 2012 to calculate a 185-month time series of relative costs at CUSIP and aggregate levels. As of June 2012, we find that the TIPS program has accumulated a relative saving of $7.06 billion. If past is prologue, we would expect relative savings from the TIPS program to continue.

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The Journal of Fixed Income: 22 (4)
The Journal of Fixed Income
Vol. 22, Issue 4
Spring 2013
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An Ex Post Performance Analysis of the TIPS Program
Dave Chung, Colin Kim, Allen X. Zhang
The Journal of Fixed Income Mar 2013, 22 (4) 31-47; DOI: 10.3905/jfi.2013.22.4.031

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An Ex Post Performance Analysis of the TIPS Program
Dave Chung, Colin Kim, Allen X. Zhang
The Journal of Fixed Income Mar 2013, 22 (4) 31-47; DOI: 10.3905/jfi.2013.22.4.031
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  • Article
    • Abstract
    • BEI AND THE EQUIVALENT NOMINAL SECURITY
    • PERFORMANCE METRICS
    • HISTORICAL PERFORMANCE OF TIPS ISSUANCES
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
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