Liquidity Risk Premia and Breakeven Inflation Rates
指出，名义国债与通胀指数国债的收益率差（盈亏平衡通胀率）常被用来衡量通胀预期，但两者流动性差异导致的流动性风险溢价会干扰这一推断，忽略它可能导致通胀预期判断失准。
In recent years, monetary policymakers have monitored several measures of market expectations of future inflation. One of these measures is based on the yield differential between nominal and inflation indexed Treasury securities. This yield spread is also called the ?breakeven inflation rate.? An increase in the breakeven rate is sometimes viewed as a sign that market inflation expectations may be on the rise. For example, the FOMC frequently refers to the yield spread as a measure of ?inflation compensation? and considers the yield spread an indicator of inflation expectations in policy deliberations. ; Accurately inferring market expectations of inflation from yield spreads is difficult. The difficulty lies in the differences in market liquidity conditions between nominal and inflation indexed Treasury securities. ; Shen presents evidence that liquidity differences between nominal and inflation indexed Treasuries have been nontrivial. Consequently, simply attributing changes in yield spreads to changes in market inflation expectations and ignoring the liquidity risk premium could lead to inaccurate inflation expectations.