英文文献：The TIPS Liquidity Premium-TIPS流动性溢价
英文文献作者：Martin M. Andreasen,Jens H.E. Christensen,Simon Riddell
英文文献摘要：
We introduce an arbitrage-free term structure model of nominal and real yields that accounts for liquidity risk in Treasury inflation-protected securities (TIPS). The novel feature of our model is to identify liquidity risk from individual TIPS prices by accounting for the tendency that TIPS, like most fixed-income securities, go into buy-and-hold investors' portfolios as time passes. We find a sizable and countercyclical TIPS liquidity premium, which greatly helps our model in matching TIPS prices. Accounting for liquidity risk also improves the model's ability to forecast inflation and match inflation surveys, although none of these series are included in the estimation.

我们介绍了一个无套利期限结构模型的名义和实际收益率，以说明流动性风险的通货膨胀保值债券(TIPS)。我们模型的新特点是，通过考虑TIPS(与大多数固定收益证券一样)随着时间的推移进入购买并持有投资者的投资组合的趋势，从单个TIPS价格中识别流动性风险。我们发现一个相当大的、反周期的TIPS流动性溢价，这极大地帮助我们的模型匹配TIPS价格。考虑流动性风险也提高了模型预测通货膨胀和匹配通货膨胀调查的能力，尽管这些序列都不在估计之内。