Working Paper
Treasury inflation-indexed debt: a review of the U.S. experience
Sack, Brian P.; Elsasser, Robert (2002)
This paper reviews the U.S. experience with inflation-indexed debt. To date, Treasury inflation-indexed securities have not been highly valued by investors, with the spread between the yields on nominal and inflation-indexed securities falling consistently below most measures of long-run inflation expectations. A number of factors might have contributed to the low relative valuation of TIIS, including the difficulty for investors of adjusting to a new asset class, the concentration of participation in the market, the lower liquidity of TIIS relative to nominal Treasury securities, and the ...
Finance and Economics Discussion Series , Paper 2002-32

Journal Article
Treasury inflation-indexed debt: a review of the U.S. experience
Sack, Brian P.; Elsasser, Robert (2004-05)
This article describes the evolution of Treasury inflation-indexed debt securities (TIIS) since their introduction in 1997. Over most of this period, TIIS yields have been surprisingly high relative to those on comparable nominal Treasury securities, with the spread between the nominal and indexed yields falling well below survey measures of long-run inflation expectations. The authors argue that the low relative valuation of TIIS may have reflected investor difficulty adjusting to a new asset class, supply trends, and the lower liquidity of indexed debt. In addition, investors may have had a ...
Economic Policy Review , Issue May , Pages 47-63