Abstract
We analyze the investment returns of Treasury Nominal Securities (TNS) and Treasury Inflation Protected Securities (TIPS) of the U.S. from January 2003 to December 2021. We find that the month-by-month rolling investments in 5-year TNS and TIPS create similar returns, in line with the equivalence between the month by-month rolling 5-year breakeven (BE) and Consumer Price Index for all urban consumers (CPIU) inflation rates.However, the rolling investments in 10-year TNS generate significantly higher returns than those in 10-year TIPS,consistent with the rolling 10-year BE inflation rates significantly exceeding their respective CPIU counterparts.
© The Author(s) 2024.
© The Author(s) 2024.
| Original language | English |
|---|---|
| Pages (from-to) | 15-23 |
| Journal | Journal of Finance and Economics |
| Volume | 12 |
| Issue number | 1 |
| Online published | 20 Feb 2024 |
| DOIs | |
| Publication status | Published - 2024 |
Publisher's Copyright Statement
- This full text is made available under CC-BY 4.0. https://creativecommons.org/licenses/by/4.0/