@article{jfe20241212,
author={{He, Yan and Wang, Junbo and Dufrene, Uric},
title={Do Treasury Nominal Securities and Treasury Inflation-Protected Securities Deliver Equivalent Returns?},
journal={Journal of Finance and Economics},
volume={12},
number={1},
pages={15--23},
year={2024},
url={https://pubs.sciepub.com/jfe/12/1/2},
issn={2328-7276},
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.},
doi={10.12691/jfe-12-1-2}
publisher={Science and Education Publishing}
}