@article {Chu90, author = {Quentin C. Chu and Deborah N. Pittman and Linda Q. Yu}, title = {Information Content of Maturing TIIS}, volume = {13}, number = {4}, pages = {90--99}, year = {2004}, doi = {10.3905/jfi.2004.391031}, publisher = {Institutional Investor Journals Umbrella}, abstract = {During their last coupon period, Treasury Inflation-Indexed Securities (TIIS) are transformed from inflation-protection securities into Treasury bills due to the lag effect in indexing inflation. A study of the first issue of TIIS that matured on July 15, 2002, indicates that TIIS prices in the final six months convey useful information about the market{\textquoteright}s assessment of inflation risk. TIIS prices reveal that the market was concerned more about disinflation than inflation during the first quarter of 2002. This special period of transformation also permits a controlled experiment of the market{\textquoteright}s ability to aggregate information about inflation; TIIS prices efficiently reflect inflation information at the time inflation takes place.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/13/4/90}, eprint = {https://jfi.pm-research.com/content/13/4/90.full.pdf}, journal = {The Journal of Fixed Income} }