Journal Article
Pricing Inflation Swaps in the Japanese Bond Market
Abstract: Japanese government bond markets present a puzzling pattern. Unlike U.S. markets, where bond liquidity and other premiums have been shown to drive a wedge between prices of nominal U.S. Treasury securities and those of matching portfolios comprised of inflation-indexed bonds and derivative contracts, analysis shows no such wedge for similar asset combinations in Japanese markets.
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Bibliographic Information
Provider: Federal Reserve Bank of San Francisco
Part of Series: FRBSF Economic Letter
Publication Date: 2026-10-07
Volume: 2026
Issue: 29
Pages: 6
Note: Part of the Pacific Basin Notes series of publications from the Federal Reserve Bank of San Francisco