The authors show that inefficiencies in the U.S. market for inflation-linked bonds can be exploited by informed traders who include survey estimates or inflation model forecasts in trades on breakeven inflation. The Treasury Inflation-Protected Securities market has yet to fulfill investors’ expectations as a low-risk, efficient, and liquid financial instrument.

Note: The views and opinions expressed in this article are the authors’ own and do not necessarily reflect the views and opinions of BlackRock.

Author Information

Aleksandar Andonov is a PhD candidate in finance at Maastricht University, the Netherlands.

Florian Bardong is a fixed-income research analyst at BlackRock, London.

Thorsten Lehnert is a professor of finance at the University of Luxembourg.

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