Finance and Economics Discussion Series: 2008-08 Screen Reader version
♣The "Growing Pains" of TIPS Issuance
Jennifer E. Roush
Board of Governors of the Federal Reserve System
October 16, 2007
Figure 1: TIPS Cost To Date (by issue in order of auction date)
| Date | Benchmark-LB | Benchmark-UB | Sack and Elsasser (2004) |
| 19970129 | -782 | -900 | -586 |
| 19970408 | -1240 | -1389 | -697 |
| 19970709 | 66 | -16 | -38 |
| 19971008 | -100 | -184 | 23 |
| 19980108 | 802 | 706 | 381 |
| 19980408 | 546 | 402 | 185 |
| 19980708 | 587 | 458 | 307 |
| 19981007 | 1463 | 1390 | 894 |
| 19990106 | 1549 | 1404 | 810 |
| 19990407 | 923 | 732 | 427 |
| 19990707 | 455 | 266 | 271 |
| 19991006 | 528 | 282 | 253 |
| 20000112 | 164 | 55 | 73 |
| 20000712 | 145 | 89 | 82 |
| 20001011 | 154 | 123 | 92 |
| 20010110 | 406 | 348 | 121 |
| 20010711 | 104 | 74 | 6 |
| 20011010 | 165 | 115 | 7 |
| 20020109 | 318 | 236 | 75 |
| 20020710 | 450 | 332 | 52 |
| 20021009 | 384 | 285 | 66 |
| 20030108 | 272 | 204 | 41 |
| 20030709 | 392 | 314 | |
| 20031009 | 133 | 71 | |
| 20040108 | 255 | 198 | |
| 20040407 | 90 | 43 | |
| 20040708 | 54 | 5 | |
| 20040727 | -100 | -140 | |
| 20041007 | 10 | -31 | |
| 20041026 | 150 | 100 | |
| 20050113 | 60 | 29 | |
| 20050125 | -7 | -33 | |
| 20050414 | 10 | -9 | |
| 20050426 | -1 | -22 | |
| 20050714 | 32 | 19 | |
| 20050726 | -10 | -18 | |
| 20051013 | -79 | -93 | |
| 20051025 | -119 | -132 | |
| 20060112 | -63 | -75 | |
| 20060124 | -44 | -57 | |
| 20060412 | -81 | -91 | |
| 20050414 | 10 | -9 | |
| 20060425 | -35 | -49 | |
| 20060713 | -130 | -137 | |
| 20060725 | -128 | -133 | |
| 20061012 | -182 | -187 | |
| 20061023 | 0 | 0 | |
| 20070111 | 0 | 0 | |
| 20070123 | 0 | 0 | |
Figure 2: Auction Breakeven Rates vs. Projected Inflation (by issue in order of auction date)
| Date | Benchmark-LB | Benchmark-UB | Actual/Projected |
| 19970129 | 3.11585410587018 | 3.22074133444618 | 2.41668633103624 |
| 19970408 | 3.33263244387971 | 3.44612603359568 | 2.37000294396665 |
| 19970709 | 2.20280470642903 | 2.3426665456701 | 2.32751986211115 |
| 19971008 | 2.41849935700425 | 2.55970964472331 | 2.26689880218673 |
| 19980108 | 1.68755720889899 | 1.78324720267846 | 2.499552422936 |
| 19980408 | 1.99639449288513 | 2.13883085316656 | 2.52586849713481 |
| 19980708 | 1.88070942530756 | 2.00967100023087 | 2.50723260815087 |
| 19981007 | 0.909046409250614 | 0.992757853425352 | 2.51804698370872 |
| 19990106 | 0.815343607728466 | 0.993765891292966 | 2.60034340395356 |
| 19990407 | 1.44975669164565 | 1.70910818408142 | 2.55524420909525 |
| 19990707 | 1.9736094110497 | 2.2387926011286 | 2.595997840102 |
| 19991006 | 1.88794546500189 | 2.23864574155806 | 2.54727387451146 |
| 20000112 | 2.3330785384001 | 2.52167081711508 | 2.5938673379629 |
| 20000712 | 2.18435277129443 | 2.31405800242651 | 2.53359776038637 |
| 20001011 | 2.11337486502201 | 2.18672767758982 | 2.51336208751916 |
| 20010110 | 1.56970865663475 | 1.69971074602752 | 2.50393941689819 |
| 20010711 | 2.03716094938656 | 2.12489491835327 | 2.44005296851735 |
| 20011010 | 1.83072375880705 | 1.9795111992933 | 2.46647493831191 |
| 20020109 | 1.69054487893834 | 1.91761552717215 | 2.55430160129015 |
| 20020710 | 1.62740558072721 | 1.87707470008766 | 2.55405741423336 |
| 20021009 | 1.45388788320069 | 1.72491327636746 | 2.52194967276398 |
| 20030108 | 1.71505843421303 | 1.96135127613251 | 2.60077218003372 |
| 20030709 | 1.78694822216731 | 1.96827734858321 | 2.5916175072596 |
| 20031009 | 2.23011223135039 | 2.40585457952856 | 2.56124247729317 |
| 20040108 | 2.31861154776488 | 2.46111351902582 | 2.65709865364343 |
| 20040407 | 2.48630744180731 | 2.64301287608216 | 2.60827990913901 |
| 20040708 | 2.53405847804978 | 2.71457565310129 | 2.58152780695045 |
| 20040727 | 2.94551970627258 | 3.07658136313552 | 2.53252515354863 |
| 20041007 | 2.48495999502994 | 2.65129565229129 | 2.53069936250867 |
| 20041026 | 2.29078399598263 | 2.44770322935138 | 2.65631635052905 |
| 20050113 | 2.48043789188168 | 2.62450229187748 | 2.57677669166108 |
| 20050125 | 2.79253725549318 | 2.94252175005082 | 2.54380247532691 |
| 20050414 | 2.63759285447641 | 2.73618965151025 | 2.56307506799107 |
| 20050426 | 2.87168073187673 | 2.97980706945696 | 2.68593396348225 |
| 20050714 | 2.21296241709894 | 2.30392832693197 | 2.51643839774807 |
| 20050726 | 2.57346614170565 | 2.65725541750312 | 2.51720292404078 |
| 20051013 | 2.57453430628259 | 2.68562755061052 | 2.44349764903675 |
| 20051025 | 3.33227167560079 | 3.44816093391455 | 2.45893682603904 |
| 20060112 | 2.33808078020622 | 2.4687202098639 | 2.44368529624905 |
| 20060124 | 2.45674675978701 | 2.58220263302592 | 2.49684096567995 |
| 20060412 | 2.57094458205766 | 2.68601693818357 | 2.43658820290773 |
| 20050414 | 2.63759274435786 | 2.73618954133818 | 2.56307506799107 |
| 20060425 | 2.46109101532915 | 2.58203309161772 | 2.47221144660719 |
| 20060713 | 2.46977183832261 | 2.62604710491309 | 2.38594211774341 |
| 20060725 | 2.78061855038125 | 2.93056405505153 | 2.436268657801 |
| 20061012 | 2.46315013996958 | 2.58503937501972 | 2.30228183605066 |
| 20061023 | 2.60581412061896 | 2.74255386986744 | 2.16454618315027 |
| 20070111 | 2.24061178012876 | 2.39023346989559 | 2.53046711876346 |
| 20070123 | 2.47739154136329 | 2.60287035142336 | 2.52540788060909 |
Figure 3: Total Estimated Cost of TIPS Program (by issue in order of auction date)
| Date | Benchmark-LB | Benchmark-UB | Elsasser & Sack (2004) |
| 19970129 | -782 | -900 | -838 |
| 19970408 | -1240 | -1389 | -1005 |
| 19970709 | 66 | -16 | -38 |
| 19971008 | -100 | -184 | 23 |
| 19980108 | 903 | 798 | 668 |
| 19980408 | 1517 | 1129 | 740 |
| 19980708 | 1738 | 1396 | 1281 |
| 19981007 | 1632 | 1552 | 1632 |
| 19990106 | 1896 | 1721 | 1632 |
| 19990407 | 2603 | 2063 | 1820 |
| 19990707 | 570 | 333 | 526 |
| 19991006 | 1579 | 788 | 1119 |
| 20000112 | 223 | 68 | 107 |
| 20000712 | 220 | 139 | 236 |
| 20001011 | 628 | 516 | 833 |
| 20010110 | 683 | 591 | 544 |
| 20010711 | 224 | 174 | 269 |
| 20011010 | 938 | 729 | 568 |
| 20020109 | 610 | 454 | 493 |
| 20020710 | 940 | 695 | 591 |
| 20021009 | 831 | 627 | 681 |
| 20030108 | 567 | 415 | 456 |
| 20030709 | 914 | 715 | |
| 20031009 | 314 | 150 | |
| 20040108 | 438 | 263 | |
| 20040407 | 123 | -24 | |
| 20040708 | 56 | -128 | |
| 20040727 | -850 | -1138 | |
| 20041007 | 44 | -108 | |
| 20041026 | 247 | 142 | |
| 20050113 | 100 | -40 | |
| 20050125 | -344 | -567 | |
| 20050414 | -60 | -148 | |
| 20050426 | -82 | -132 | |
| 20050714 | 259 | 183 | |
| 20050726 | -54 | -140 | |
| 20051013 | -104 | -189 | |
| 20051025 | -275 | -312 | |
| 20060112 | 83 | -26 | |
| 20060124 | 59 | -142 | |
| 20060412 | -105 | -193 | |
| 20050414 | -60 | -148 | |
| 20060425 | 7 | -60 | |
| 20060713 | -83 | -215 | |
| 20060725 | -393 | -563 | |
| 20061012 | -138 | -230 | |
| 20061023 | -141 | -183 | |
| 20070111 | 236 | 116 | |
| 20070123 | 64 | -95 | |
Figure 4: Total TIPS Issuance
| Year | $ millions |
| 1997 | 31 |
| 1998 | 32 |
| 1999 | 29 |
| 2000 | 16 |
| 2001 | 16 |
| 2002 | 22 |
| 2003 | 26 |
| 2004 | 63 |
| 2005 | 66 |
| 2006 | 78 |
Figure 5: Daily Trading Volume in the Secondary TIPS Market
| Date | $ millions |
| 19980128 | 554 |
| 19980204 | 298 |
| 19980211 | 475 |
| 19980218 | 254 |
| 19980225 | 787 |
| 19980304 | 570 |
| 19980311 | 267 |
| 19980318 | 312 |
| 19980325 | 336 |
| 19980401 | 696 |
| 19980408 | 3346 |
| 19980415 | 1316 |
| 19980422 | 1381 |
| 19980429 | 1083 |
| 19980506 | 1101 |
| 19980513 | 871 |
| 19980520 | 552 |
| 19980527 | 298 |
| 19980603 | 370 |
| 19980610 | 559 |
| 19980617 | 791 |
| 19980624 | 362 |
| 19980701 | 1163 |
| 19980708 | 2753 |
| 19980715 | 1321 |
| 19980722 | 786 |
| 19980729 | 638 |
| 19980805 | 301 |
| 19980812 | 761 |
| 19980819 | 585 |
| 19980826 | 968 |
| 19980902 | 862 |
| 19980909 | 1212 |
| 19980916 | 1657 |
| 19980923 | 817 |
| 19980930 | 1140 |
| 19981007 | 2373 |
| 19981014 | 1269 |
| 19981021 | 1631 |
| 19981028 | 949 |
| 19981104 | 799 |
| 19981111 | 723 |
| 19981118 | 566 |
| 19981125 | 561 |
| 19981202 | 259 |
| 19981209 | 386 |
| 19981216 | 239 |
| 19981223 | 236 |
| 19981230 | 157 |
| 19990106 | 3681 |
| 19990113 | 1200 |
| 19990120 | 814 |
| 19990127 | 1188 |
| 19990203 | 934 |
| 19990210 | 471 |
| 19990217 | 991 |
| 19990224 | 776 |
| 19990303 | 727 |
| 19990310 | 548 |
| 19990317 | 276 |
| 19990324 | 264 |
| 19990331 | 323 |
| 19990407 | 2435 |
| 19990414 | 1418 |
| 19990421 | 1393 |
| 19990428 | 530 |
| 19990505 | 1122 |
| 19990512 | 1200 |
| 19990519 | 1213 |
| 19990526 | 912 |
| 19990602 | 1368 |
| 19990609 | 730 |
| 19990616 | 1573 |
| 19990623 | 1620 |
| 19990630 | 1154 |
| 19990707 | 2719 |
| 19990714 | 1831 |
| 19990721 | 301 |
| 19990728 | 934 |
| 19990804 | 630 |
| 19990811 | 1011 |
| 19990818 | 882 |
| 19990825 | 558 |
| 19990901 | 1006 |
| 19990908 | 475 |
| 19990915 | 462 |
| 19990922 | 347 |
| 19990929 | 629 |
| 19991006 | 2314 |
| 19991013 | 562 |
| 19991020 | 1499 |
| 19991027 | 506 |
| 19991103 | 460 |
| 19991110 | 989 |
| 19991117 | 721 |
| 19991124 | 782 |
| 19991201 | 666 |
| 19991208 | 572 |
| 19991215 | 575 |
| 19991222 | 315 |
| 19991229 | 318 |
| 20000105 | 743 |
| 20000112 | 2950 |
| 20000119 | 1309 |
| 20000126 | 827 |
| 20000202 | 1618 |
| 20000209 | 1379 |
| 20000216 | 600 |
| 20000223 | 687 |
| 20000301 | 716 |
| 20000308 | 948 |
| 20000315 | 1040 |
| 20000322 | 982 |
| 20000329 | 978 |
| 20000405 | 1527 |
| 20000412 | 833 |
| 20000419 | 1331 |
| 20000426 | 1043 |
| 20000503 | 1623 |
| 20000510 | 915 |
| 20000517 | 600 |
| 20000524 | 656 |
| 20000531 | 670 |
| 20000607 | 1249 |
| 20000614 | 1033 |
| 20000621 | 802 |
| 20000628 | 778 |
| 20000705 | 851 |
| 20000712 | 2586 |
| 20000719 | 743 |
| 20000726 | 790 |
| 20000802 | 974 |
| 20000809 | 1553 |
| 20000816 | 730 |
| 20000823 | 1144 |
| 20000830 | 1219 |
| 20000906 | 2086 |
| 20000913 | 1683 |
| 20000920 | 1043 |
| 20000927 | 1584 |
| 20001004 | 1000 |
| 20001011 | 4070 |
| 20001018 | 2150 |
| 20001025 | 1675 |
| 20001101 | 831 |
| 20001108 | 938 |
| 20001115 | 643 |
| 20001122 | 1071 |
| 20001129 | 1446 |
| 20001206 | 1420 |
| 20001213 | 1563 |
| 20001220 | 1527 |
| 20001227 | 907 |
| 20010103 | 2034 |
| 20010110 | 5306 |
| 20010117 | 2310 |
| 20010124 | 2387 |
| 20010131 | 1411 |
| 20010307 | 1670 |
| 20010314 | 950 |
| 20010321 | 1910 |
| 20010328 | 2209 |
| 20010307 | 1267 |
| 20010314 | 1716 |
| 20010321 | 1881 |
| 20010328 | 1349 |
| 20010404 | 1794 |
| 20010411 | 1676 |
| 20010418 | 1770 |
| 20010425 | 1995 |
| 20010502 | 2044 |
| 20010509 | 1629 |
| 20010516 | 2650 |
| 20010523 | 1469 |
| 20010530 | 1633 |
| 20010606 | 974 |
| 20010613 | 1532 |
| 20010620 | 1048 |
| 20010627 | 1542 |
| 20010704 | 2284 |
| 20010711 | 4228 |
| 20010718 | 2020 |
| 20010725 | 1485 |
| 20010801 | 1966 |
| 20010808 | 1286 |
| 20010815 | 1532 |
| 20010822 | 1511 |
| 20010829 | 1335 |
| 20010905 | 2004 |
| 20010912 | 882 |
| 20010919 | 1690 |
| 20010926 | 2305 |
| 20011003 | 1505 |
| 20011010 | 4143 |
| 20011017 | 2141 |
| 20011024 | 2760 |
| 20011031 | 2168 |
| 20011107 | 3405 |
| 20011114 | 1994 |
| 20011121 | 1969 |
| 20011128 | 1952 |
| 20011205 | 1491 |
| 20011212 | 1503 |
| 20011219 | 1453 |
| 20011226 | 772 |
| 20020102 | 740 |
| 20020109 | 3988 |
| 20020116 | 2677 |
| 20020123 | 1074 |
| 20020130 | 977 |
| 20020206 | 1977 |
| 20020213 | 1306 |
| 20020220 | 1798 |
| 20020227 | 1981 |
| 20020306 | 1433 |
| 20020313 | 1876 |
| 20020320 | 1618 |
| 20020327 | 2073 |
| 20020403 | 2303 |
| 20020410 | 1948 |
| 20020417 | 2739 |
| 20020424 | 1900 |
| 20020501 | 1765 |
| 20020508 | 1367 |
| 20020515 | 2270 |
| 20020522 | 1443 |
| 20020529 | 1185 |
| 20020605 | 1864 |
| 20020612 | 2398 |
| 20020619 | 2897 |
| 20020626 | 2620 |
| 20020703 | 2018 |
| 20020710 | 9179 |
| 20020717 | 3567 |
| 20020724 | 2911 |
| 20020731 | 2543 |
| 20020807 | 2089 |
| 20020814 | 2456 |
| 20020821 | 2111 |
| 20020828 | 1367 |
| 20020904 | 2408 |
| 20020911 | 2104 |
| 20020918 | 2796 |
| 20020925 | 2408 |
| 20021002 | 2472 |
| 20021009 | 5454 |
| 20021016 | 5235 |
| 20021023 | 3086 |
| 20021030 | 3737 |
| 20021106 | 3410 |
| 20021113 | 2408 |
| 20021120 | 2531 |
| 20021127 | 2325 |
| 20020204 | 1914 |
| 20020211 | 3274 |
| 20020218 | 2536 |
| 20020225 | 2265 |
| 20030101 | 1532 |
| 20030108 | 7402 |
| 20030115 | 3292 |
| 20030122 | 2746 |
| 20030129 | 2451 |
| 20030205 | 3316 |
| 20030212 | 3248 |
| 20030219 | 2185 |
| 20030226 | 3477 |
| 20030305 | 2294 |
| 20030312 | 2563 |
| 20030319 | 3823 |
| 20030326 | 3176 |
| 20030402 | 2681 |
| 20030409 | 2663 |
| 20030416 | 2579 |
| 20030423 | 2578 |
| 20030430 | 4610 |
| 20030507 | 3658 |
| 20030514 | 4603 |
| 20030521 | 4171 |
| 20030528 | 5284 |
| 20030604 | 3530 |
| 20030611 | 3260 |
| 20030618 | 2590 |
| 20030625 | 2818 |
| 20030702 | 2666 |
| 20030709 | 11622 |
| 20030716 | 7639 |
| 20030723 | 4498 |
| 20030730 | 3707 |
| 20030806 | 4420 |
| 20030813 | 3029 |
| 20030820 | 3318 |
| 20030827 | 2843 |
| 20030903 | 2507 |
| 20030910 | 2930 |
| 20030917 | 3054 |
| 20030924 | 2919 |
| 20031001 | 3616 |
| 20031008 | 3663 |
| 20031015 | 6416 |
| 20031022 | 4303 |
| 20031029 | 6459 |
| 20031105 | 3255 |
| 20031112 | 5454 |
| 20031119 | 3717 |
| 20031126 | 3552 |
| 20031203 | 4134 |
| 20031210 | 3106 |
| 20031217 | 2959 |
| 20031224 | 1554 |
| 20031231 | 1136 |
| 20040107 | 7159 |
| 20040114 | 8850 |
| 20040121 | 5504 |
| 20040128 | 5629 |
| 20040204 | 6609 |
| 20040211 | 5675 |
| 20040218 | 3742 |
| 20040225 | 4503 |
| 20040303 | 6294 |
| 20040310 | 4645 |
| 20040317 | 5456 |
| 20040324 | 3945 |
| 20040331 | 5001 |
| 20040407 | 7510 |
| 20040414 | 3618 |
| 20040421 | 4274 |
| 20040428 | 4652 |
| 20040505 | 4797 |
| 20040512 | 4619 |
| 20040519 | 3834 |
| 20040526 | 3791 |
| 20040602 | 3595 |
| 20040609 | 2772 |
| 20040616 | 3422 |
| 20040623 | 2333 |
| 20040630 | 2939 |
| 20040707 | 4870 |
| 20040714 | 7354 |
| 20040721 | 5416 |
| 20040728 | 10614 |
| 20040804 | 7369 |
| 20040811 | 5535 |
| 20040818 | 6409 |
| 20040825 | 3840 |
| 20040901 | 4727 |
| 20040908 | 4546 |
| 20040915 | 4373 |
| 20040922 | 8245 |
| 20040929 | 8331 |
| 20041006 | 8218 |
| 20041013 | 12341 |
| 20041020 | 5744 |
| 20041027 | 18704 |
| 20041103 | 11650 |
| 20041110 | 6630 |
| 20041117 | 5386 |
| 20041124 | 7542 |
| 20041201 | 6815 |
| 20041208 | 6009 |
| 20041215 | 5788 |
| 20041222 | 5916 |
| 20041229 | 1856 |
| 20050105 | 5732 |
| 20050112 | 7836 |
| 20050119 | 16510 |
| 20050126 | 11302 |
| 20050202 | 13552 |
| 20050209 | 9579 |
| 20050216 | 8871 |
| 20050223 | 9334 |
| 20050302 | 10278 |
| 20050309 | 8033 |
| 20050316 | 7455 |
| 20050323 | 8889 |
| 20050330 | 5684 |
| 20050406 | 7040 |
| 20050413 | 7275 |
| 20050420 | 11000 |
| 20050427 | 10750 |
| 20050504 | 8706 |
| 20050511 | 6341 |
| 20050518 | 8837 |
| 20050525 | 8704 |
| 20050601 | 8632 |
| 20050608 | 8934 |
| 20050615 | 8613 |
| 20050622 | 8918 |
| 20050629 | 6867 |
| 20050706 | 6136 |
| 20050713 | 5937 |
| 20050720 | 11377 |
| 20050727 | 10961 |
| 20050803 | 10970 |
| 20050810 | 6909 |
| 20050817 | 6058 |
| 20050824 | 5257 |
| 20050831 | 8543 |
| 20050907 | 11390 |
| 20050914 | 12058 |
| 20050921 | 10046 |
| 20050928 | 7609 |
| 20051005 | 8236 |
| 20051012 | 8646 |
| 20051019 | 14065 |
| 20051026 | 11549 |
| 20051102 | 11233 |
| 20051109 | 9840 |
| 20051116 | 6721 |
| 20051123 | 10123 |
| 20051130 | 9268 |
| 20051207 | 7513 |
| 20051214 | 6377 |
| 20051221 | 6161 |
| 20051228 | 2584 |
| 20060104 | 4182 |
| 20060111 | 7764 |
| 20060118 | 13072 |
| 20060125 | 11857 |
| 20060201 | 15480 |
| 20060208 | 8247 |
| 20060215 | 6590 |
| 20060222 | 8107 |
| 20060301 | 5608 |
| 20060308 | 7391 |
| 20060315 | 5496 |
| 20060322 | 6298 |
| 20060329 | 5135 |
| 20060405 | 6768 |
| 20060412 | 9358 |
| 20060419 | 8540 |
| 20060426 | 10334 |
| 20060503 | 10595 |
| 20060510 | 6172 |
| 20060517 | 7761 |
| 20060524 | 5913 |
| 20060531 | 6261 |
| 20060607 | 6547 |
| 20060614 | 6609 |
| 20060621 | 6040 |
| 20060628 | 4922 |
| 20060705 | 5885 |
| 20060712 | 6953 |
| 20060719 | 11175 |
| 20060726 | 10884 |
| 20060802 | 9754 |
| 20060809 | 9172 |
| 20060816 | 8838 |
| 20060823 | 5009 |
| 20060830 | 8075 |
| 20060906 | 6396 |
| 20060913 | 9228 |
| 20060920 | 9254 |
| 20060927 | 7844 |
| 20061004 | 7727 |
| 20061011 | 6644 |
| 20061018 | 9731 |
| 20061025 | 12001 |
| 20061101 | 7727 |
| 20061108 | 5323 |
| 20061115 | 4054 |
| 20061122 | 8407 |
| 20061129 | 5539 |
| 20061206 | 7047 |
| 20061213 | 6760 |
| 20061220 | 8070 |
| 20061227 | 4060 |
| 20070103 | 5297 |
| 20070110 | 9450 |
| 20070117 | 10831 |
| 20070124 | 12162 |
| 20070131 | 11825 |
| 20070207 | 8295 |
| 20070214 | 4952 |
| 20070221 | 6058 |
| 20070228 | 8799 |
| 20070307 | 5708 |
| 20070314 | 8466 |
| 20070321 | 6771 |
| 20070328 | 10568 |
| 20070404 | 6833 |
| 20070411 | 5333 |
| 20070418 | 11342 |
| 20070425 | 10347 |
| 20070502 | 11279 |
| 20070509 | 8149 |
| 20070516 | 9365 |
| 20070523 | 9154 |
| 20070530 | 8411 |
| 20070606 | 7278 |
| 20070613 | 10772 |
| 20070620 | 9175 |
| 20070627 | 8675 |
| 20070704 | 6665 |
| 20070711 | 7915 |
| 20070718 | 12490 |
| 20070725 | 8007 |
| 20070801 | 10206 |
Figure 6: Liquidity Component of the TIPS Yield (on auction dates)
| Date | Percent |
| 19972900 | 1.7344 |
| 19973200 | 1.7344 |
| 19976300 | 1.9169 |
| 19978000 | 1.9169 |
| 19980800 | 1.7344 |
| 19983200 | 1.7344 |
| 19985600 | 1.7344 |
| 19987000 | 1.7344 |
| 19990600 | 1.7344 |
| 19992800 | 1.6164 |
| 19994900 | 1.3095 |
| 19996000 | 1.3013 |
| 20001200 | 1.2395 |
| 20008400 | 1.1686 |
| 20011000 | 1.3153 |
| 20011000 | 1.3375 |
| 20017700 | 1.2872 |
| 20020000 | 1.4726 |
| 20020900 | 1.4396 |
| 20027000 | 1.3377 |
| 20029000 | 1.1575 |
| 20030800 | 1.0747 |
| 20036300 | 0.9959 |
| 20039000 | 0.8216 |
| 20040800 | 0.6147 |
| 20042800 | 0.49 |
| 20045600 | 0.4271 |
| 20058900 | 0.4643 |
| 20047000 | 0.4375 |
| 20066000 | 0.3546 |
| 20051300 | -0.1263 |
| 20052500 | -0.121 |
| 20055600 | -0.0499 |
| 20060400 | 0.206 |
| 20059800 | 0.2616 |
| 20068200 | 0.2509 |
| 20063000 | 0.1238 |
| 20075000 | 0.0502 |
| 20061200 | 0.2493 |
| 20062400 | 0.2204 |
| 20064800 | 0.3213 |
| 20055600 | -0.0499 |
| 20070000 | 0.2375 |
| 20069100 | 0.3702 |
| 20077500 | 0.3165 |
| 20072000 | 0.4533 |
| 20083000 | 0.5542 |
| 20071100 | 0.4698 |
| 20072300 | 0.4049 |
Figure 7: On-the-Run Liquidity Premium in the Nominal Treasury Market on Days of TIPS Auctions
| Date | Min | Max |
| 19970129 | 0.0192036378 | 0.1224552101 |
| 19970408 | 0.0319326815 | 0.1435349619 |
| 19970709 | 0.024673193 | 0.1629635507 |
| 19971008 | 0.0407887419 | 0.1802632028 |
| 19980108 | 0.0711288171 | 0.1659956521 |
| 19980408 | 0.0657883605 | 0.2067672777 |
| 19980708 | 0.0716478551 | 0.1993672419 |
| 19981007 | 0.1843478406 | 0.2676631624 |
| 19990106 | 0.1326482022 | 0.3102671671 |
| 19990407 | 0.0932481015 | 0.3505675364 |
| 19990707 | 0.0476476872 | 0.3100673723 |
| 19991006 | 0.0657479489 | 0.4128672647 |
| 20000112 | 0.0358325419 | 0.2221633607 |
| 20000712 | 0.1074323878 | 0.2356951766 |
| 20001011 | 0.0940434647 | 0.1666161036 |
| 20010110 | 0.1042950683 | 0.2332431984 |
| 20010711 | 0.1081326517 | 0.1949631387 |
| 20011010 | 0.046702683 | 0.1940862155 |
| 20020109 | 0.0424226529 | 0.2674633676 |
| 20020710 | -0.0134374387 | 0.2340633088 |
| 20021009 | 0.034432576 | 0.3033211517 |
| 20030108 | 0.0165078133 | 0.2605576181 |
| 20030709 | 0.000452617 | 0.180095259 |
| 20031009 | -0.0023314515 | 0.1713974047 |
| 20040108 | 0.0061178055 | 0.146937089 |
| 20040407 | 0.0196477921 | 0.1743691951 |
| 20040708 | -0.0303218088 | 0.1478573847 |
| 20040727 | 0.0343314222 | 0.1634491831 |
| 20041007 | -0.0043514412 | 0.1598754472 |
| 20041026 | 0.0019549078 | 0.1570370126 |
| 20050113 | -0.0158259324 | 0.1264230424 |
| 20050125 | -0.0103952853 | 0.1374691874 |
| 20050414 | 0.0312132422 | 0.1285030061 |
| 20050426 | 0.0180715344 | 0.12463893 |
| 20050714 | 0.0185929059 | 0.1085430795 |
| 20050726 | 0.0255914268 | 0.1082991511 |
| 20051013 | 0.0213322247 | 0.130983513 |
| 20051025 | 0.026661616 | 0.1406191736 |
| 20060112 | 0.0016534341 | 0.1307416153 |
| 20060124 | 0.0084121598 | 0.1323072839 |
| 20060412 | 0.0141357628 | 0.1277154124 |
| 20050414 | 0.0312132422 | 0.1285030061 |
| 20060425 | 0.0050128985 | 0.1244491488 |
| 20060713 | -0.0515982221 | 0.1027112198 |
| 20060725 | -0.0426375495 | 0.1051971841 |
| 20061012 | -0.0196772015 | 0.1006929094 |
| 20061023 | -0.0271440813 | 0.1077914608 |
| 20070111 | -0.049577863 | 0.0983314705 |
| 20070123 | -0.0213877784 | 0.1025173593 |