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The Microstructure of the TIPS Market · Study

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PreprintThe Microstructure of the TIPS Market

Michael J. Fleming2011

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Preprintgreen2011

The Microstructure of the TIPS Market

Michael J. Fleming · Neel Krishnan

41 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements 2001Board of Governors of the Federal Reserve System 1993How Markets Process Information: News Releases and Volatility 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market 2006Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets 2004Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve 2005Inflation risk premia and the expectations hypothesis

Cited by

2015The informational content of the embedded deflation option in TIPS 2020How Important Are Inflation Expectations for the Nominal Yield Curve?2017Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee 2018ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW

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2009The Microstructure of the TIPS Marketpreprint · 17 shared references 2007The Microstructure of the U.S. Treasury Marketreport · 10 shared references 2009Price discovery in the round-the-clock U.S. Treasury marketarticle · 9 shared references 2013Identification and Inference Using Event Studiesarticle · 6 shared references 2020Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to Newsarticle · 6 shared references 2009The Microstructure of a U.S. Treasury ECN: The BrokerTec Platformpreprint · 6 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations41

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.1976375

openalex_workW2120938264

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