Pricing Inflation Swaps in the Japanese Bond Market
· frbsf.org
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.
FRBSF Economic Letter 2026-29 | October 7, 2026
Japanese government bond markets present a puzzling pattern. Unlike U.S. markets, where bond liquidity and othe...