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Keywords:Treasury bonds 

Journal Article
Liquidity effects in the bond market

The authors find that supply risk in the market for Treasury bills adds between 10 basis points and 40 basis points to the standard deviation of the T-bill interest rate. The risk will probably increase unless the Fed expands the set of assets that it uses to conduct open market operations.
Economic Perspectives , Volume 25 , Issue Q IV , Pages 17-35

Journal Article
TIPS and the risk of deflation

The low level of inflation and the sluggish pace of economic recovery have raised concerns about sustained deflation?an inflation rate below zero with a general fall in prices. However, the relative prices of inflation-indexed and non-indexed Treasury bonds, which historically have proven to be good measures of inflation expectations, suggest that financial market participants consider the probability of deflation to be low.
FRBSF Economic Letter

Report
Forecasting through the rear-view mirror: data revisions and bond return predictability

Real-time macroeconomic data reflect the information available to market participants, whereas final data?containing revisions and released with a delay?overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is significantly diminished when real-time as opposed to revised macroeconomic data are used. In fact, much of the predictive information in macroeconomic time series is due to the data revision and publication lag components.
Staff Reports , Paper 581

Working Paper
Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields

Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven inflation (BEI) rates, are widely used indicators of inflation expectations. However, better measures of inflation expectations could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury securities. Our empirical results suggest that long-term inflation expectations have been well anchored over the past few ...
Working Paper Series , Paper 2008-34

Journal Article
Are options on treasury bond futures price efficiently?

Review , Volume 66 , Issue Jan , Pages 5-13

Report
Responses to the financial crisis, treasury debt, and the impact on short-term money markets

Several programs have been introduced by U.S. fiscal and monetary authorities in response to the financial crisis. We examine the responses involving Treasury debt?the Term Securities Lending Facility (TSLF), the Supplemental Financing Program, increases in Treasury issuance, and open market operations?and their impacts on the overnight Treasury general collateral repo rate, a key money market rate. Our contribution is to consider each policy in light of the others, both to help guide policy responses to future crises and to emphasize policy interactions. Only the TSLF was designed to ...
Staff Reports , Paper 481

Journal Article
Indexed bonds as an aid to monetary policy

A measure of the publics expectation of inflation would assist the Fed in formulating monetary policy. In order to create such a measure, the U.S. Treasury could issue its debt in two forms: standard debt and debt indexed for inflation. The difference in yield on these two forms of debt would measure the publics expectation of inflation.
Economic Review , Volume 78 , Issue Jan , Pages 13-23

Discussion Paper
TIPS scorecard: are TIPS accomplishing what they were supposed to accomplish?: can they be improved?

In September 1997, the U.S. Treasury developed the TIPS market in order to achieve three important policy objectives: (1) to provide consumers with a class of assets that allows for hedging against real interest rate risk, (2) to provide holders of nominal contracts a means of hedging against inflation risk, and (3) to provide everyone with a reliable indicator of the term structure of expected inflation. This paper evaluates progress toward the achievement of these objectives and analyzes prospective ways to better meet these objectives in the future, by, for example, extending the maturity ...
Public Policy Discussion Paper , Paper 09-8

Speech
Preparing for a smooth (eventual) exit

Remarks at the National Association for Business Economics Policy Conference, Arlington, Virginia
Speech , Paper 17

Journal Article
Treasury bond yields and long-run inflation expectations

This Economic Letter uses data on nominal and real Treasury yields to study the behavior of market-implied expected inflation since the beginning of 2007.
FRBSF Economic Letter

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