Economic Letter
Brief summaries of SF Fed economic research that explain in reader-friendly terms what our work means for the people we serve.
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Pricing Inflation Swaps in the Japanese Bond Market
Mizla Shrestha
Japanese government bond markets present a puzzling pattern. Unlike U.S. markets, where bond liquidity and other premiums have been shown to drive a wedge between prices of nominal U.S. Treasury securities and those of matching portfolios comprised of inflation-indexed bonds and derivative contracts, analysis shows no such wedge for similar asset combinations in Japanese markets.
