Where to Get the Yield of One Year Constant Duration TIPS ( inflation protected bonds)

Quantitative Finance Asked by Lopo on October 27, 2021

Do you know where can I get the Yield of One Year Constant Duration TIPS ( inflation protected bonds). I found the yield of 5 year, but never could get the data for one year.
Many thanks!

One Answer

I saved a file, which has fitted 1-year real yield sampled at monthly frequency. It's my own calculation; feel free to use it. The best alternative sources for this kind of data tend to be bank research portals (e.g., JPMorgan's research website has similar data).

I thought I'd provide some unsolicited comments on why this series, IMO, is not particularly useful. Illiquidity aside, the quoted real yields of short-dated TIPS are heavily distorted. The chart below shows some rough estimates for the impact of seasonality across the TIPS yield curve (in basis points, as of 1/12/2015, chosen purely because I have the chart readily available...) The distortion can be hundreds of basis points:

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The next chart provides a time series perspective, showing the unadjusted 1-year real yield (taken from the file above) and a variant that has been adjusted for seasonality and deflation floor:

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These distortions (and other technicalities) make the calculated breakeven inflation all but useless. For more color, I recommend Barclays's excellent research paper "Valuing front-end linkers."

My recommendation is to use survey-based inflation expectations instead. The chart below compares TIPS-implied 1-year BEI and survey-based 1-year inflation expectations. It is worth noting that some researchers use survey-based measures to fit the front end of their TIPS yield curve, instead of actual TIPS. enter image description here

Answered by Helin on October 27, 2021

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