The TIPS Yield Curve and Inflation Compensation
介绍了美联储每日使用的TIPS收益率曲线拟合方法，并利用其与名义收益率曲线的对比计算通胀补偿，分析通胀风险溢价和流动性溢价对通胀补偿的扭曲，尝试估计TIPS流动性溢价以提取通胀预期。
For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations.