Nevertheless, if one is willing to assume that the sum of these premiums is relatively stable over time, marked changes in the TIIS
spread should reflect changes in market participants' expectations of inflation.
From an investor's point of view, the possibility of investing in securities providing a real interest rate seems valuable: investment value is protected from erosion due to inflation and because of diversification purposes (low correlation between TIIS
and nominal securities).
* This study attributes this "valuation puzzle" to several factors: investor difficulty adjusting to a new asset class, divergent supply trends between TIIS
and nominal Treasuries, and the lower liquidity of TIIS
Why might the return on TIIS
be so perplexingly high compared to securities that pay a nominal yield?
Although day-to-day changes in TIIS
yields-to-maturity appear to be influenced strongly by institutional and trading features of the market, month-to-month changes appear to be driven by macroeconomic factors.
The chart at the lower left takes a common callable bond, the 30-year Government National Mortgage Association bond, and subtracts, as an estimate of inflation, the yield difference between a 10-year Treasury bond and a 10-year TIIS
. Both the 10-year TIIS
rate and the Option-adjusted rate (dubbed the "Berk rate," after the economist who developed these ideas) have been increasing lately, but the Berk rate has risen nearly 80 bp since early June, compared with the TIIS
's 60 bp rise.
It's about time na bumalik ako sa gym.' (Tiis
Treasury inflation-indexed securities (TIIS
) adjust their principal and interest for inflation, giving a direct measure of real rates.
lang (Just bear with it a little bit more).
Gary de Ocampo, chief executive of Kantar Philippines, says 40 percent self-medicate, while 50 percent simply endure the sickness (tiis
, in Filipino parlance) hoping it will go away on its own.
Another way to gauge long-term inflation expectations is by subtracting the yield on 10-year Treasury inflation-indexed securities (TIIS
), a signal of the real rate of interest, from the 10-year Treasury bill.
"EMRQ: An Efficient Multikeyword Range Query Scheme in Smart Grid Auction Market," TIIS