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!

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    $\begingroup$ Yields on individual TIPS here wsj.com/market-data/bonds/tips $\endgroup$ – noob2 Jul 18 '20 at 23:46
  • $\begingroup$ ... but I don't know of any 1 year constant maturity historical yield index. $\endgroup$ – noob2 Jul 19 '20 at 0:00
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    $\begingroup$ Can you share what you plan to use this series for? Not a lot of people pay attention to TIPS-implied 1-year real yield due to a ton of technicalities... $\endgroup$ – Helin Jul 19 '20 at 0:09
  • $\begingroup$ Thank you very much Noob2! You can't imagine how useful for me your information is. By the way do you know where I can get rates for OIS overnight Indexed Swap of various maturities? $\endgroup$ – Lopo Jul 19 '20 at 1:47
  • $\begingroup$ Hi Helin, I'd like to use one year tips rate and the yield of T Bill of the same maturity to calculte break even inflation, in other words, the expectation of inflation in one year. $\endgroup$ – Lopo Jul 19 '20 at 1:49

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:

enter image description here

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:

enter image description here

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

  • $\begingroup$ You can find the mentioned Barclay's document at Page 55 of this big 350 page PDF docdroid.net/PsAYm5Z/… $\endgroup$ – noob2 Jul 20 '20 at 21:57
  • $\begingroup$ Thanks you very much Hellin! $\endgroup$ – Lopo Jul 24 '20 at 19:32

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