NY Fed paper identifies illiquidity issues in Tips market

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A New York Federal Reserve paper published on December 23 says the benefits of Treasury inflation-protected securities (Tips) are not being fully realised, as the securities are less liquid than nominal Treasuries.

Michael Fleming and Neel Krishnan, the paper's authors, provide new evidence on the liquidity of Tips. They note that despite the importance of Tips liquidity, there is hardly any quantitative evidence on the securities' liquidity.

The authors find that published Federal Reserve data

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