What Do TIPS Say about Real Interest Rates and Required Returns?
通过无套利模型分解TIPS收益率，发现1999年7月至2022年9月期间均衡实际利率温和下降，而无摩擦的必要超额实际回报大幅下降，实际期限溢价呈顺周期，TIPS流动性溢价呈逆周期。
An arbitrage-free model decomposes yields on Treasury Inflation-Protected Securities (TIPS) into expected real rates, real frictionless term premiums, and liquidity premiums. Estimation eschews non-market information, incorporates a novel observable liquidity factor, and addresses factor persistence and sample biases, including real-time estimation. Results include a modest secular decline in equilibrium real rates and a much larger drop in frictionless required excess real returns, on net, from July 1999 to September 2022. Real term premiums appear to be pro-cyclical, which implies that the default risk-free asset is a hedge, and some evidence suggests that TIPS liquidity premiums are counter-cyclical.