RT Journal Article
SR Electronic
T1 TIPS, Break-Even Inflation, and Inflation Forecasts
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 15
OP 35
DO 10.3905/jfi.2004.461449
VO 14
IS 3
A1 Florian Bardong
A1 Thorsten Lehnert
YR 2004
UL https://pm-research.com/content/14/3/15.abstract
AB 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.