Working Paper
The informational content of the embedded deflation option in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing (2013)
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In almost all of our regressions, the embedded option return index is significant even in ...
Finance and Economics Discussion Series , Paper 2013-24

Working Paper
The information content of the embedded deflation pption in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing (2011)
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option price index and an embedded option return index. We then use our embedded option indices as independent variables and examine their statistical and economic significance for explaining the future inflation rate. In most of our regressions, our embedded option return index is significant even in the ...
Finance and Economics Discussion Series , Paper 2011-58