Economics, Econometrics and Finance
4 years ago

TIPS Prices React Instantly to Inflation, Impacting Investment Returns.

SSRN Electronic Journal
When Do TIPS Prices Adjust to Inflation Information
Quentin C. Chu, Deborah N. Pittman, Linda Yu

Paper Summary

Prices of Treasury Inflation-Protected Securities (TIPS) adjust quickly to inflation information, even before official announcements. Unexpected inflation affects TIPS returns the most at the end of the survey period. After the Consumer Price Index (CPI) announcement, TIPS prices do not change noticeably.

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