25
Dec
09

TIPS: un Modelo y un Paper

David Merkel en su blog postea los resultados de su modelo (que es una extensión de uno de Bear Stearns) para obtener la spot yield curve y forward inflation curve, con el propósito de ver mispricings en las curvas de Treasuries y TIPS.

Sinceramente era un post, que no brindaba mucha información sobre el modelo y sus parametros, hasta que un lector la pidió y luego, Merkel la ofreció parcialmente (ver los comentarios al final del post)

Dato al margen: es genial el Full Disclosure de Merkel:

I own shares in Vanguard’s TIPS fund.  And truth, we all own Treasuries somewhere if we look deep enough.

Por ultimo un paper de la Reserva Federal de Nueva York, The Microstructure of the TIPS Market

Abstract:
We characterize the microstructure of the market for Treasury inflation-protected securities (TIPS) using novel tick data from the interdealer market. We find a marked difference in trading activity between on-the-run and off-the-run securities, as in the nominal Treasury securities market. We find little difference in bid-ask spreads or quoted depth between on-the-run and off-the-run securities, in contrast to the nominal market, but we do find a sharp difference in the incidence of posted quotes. Intraday activity differs strikingly from the nominal market, with activity peaking in the mid-to-late morning. Announcement effects also differ from the nominal market, with auction results and consumer price index announcements eliciting particularly sharp increases in trading activity.

Link del paper (Bajarlo de SSRN)


1 Response to “TIPS: un Modelo y un Paper”


  1. December 25, 2009 at 4:50 am

    Gracias. Though I do not speak Spanish, I appreciate your interest in my work. I’m reading the TIPS microstructure paper now. If you have other things you want me to tell from my model, just ask. I thought it would be too technical to publish the details, but if people want them, I will publish them.

    Gracias.


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