In the U.S. Treasury market, the most recently issued, or so-called “on-the-run,” security typically trades at a price above those of more seasoned but otherwise comparable securities. This difference is known as the on-the-run premium. In this paper, yield spreads between pairs of Treasury Inflation-Protected Securities (TIPS) with both matching and nearly-matching maturities but of separate vintages are analyzed. Adjusting for differences in conventional liquidity premiums, values of embedded deflation options, and coupon rates, the results show a small, insignificant premium on recently issued TIPS, which leads us to conclude that there is no on-the-run premium in the TIPS market.

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TIPS 中是否有运行中的溢价？

在美国国债市场中，最近发行的或所谓的“在运行”证券的交易价格通常高于更成熟但在其他方面具有可比性的证券。这种差异被称为运行溢价。在本文中，分析了期限匹配和接近匹配但不同年份的国债通胀保值证券 (TIPS) 对之间的收益率差。调整传统流动性溢价、嵌入式通缩期权价值和票面利率的差异，结果显示最近发行的 TIPS 溢价很小，微不足道，这使我们得出结论，TIPS 市场不存在即时溢价.