Miedo a inflación futura estimula compras de TIPS

Genevieve Signoret & Patrick Signoret

Financial Times observa un aumento en las compras de bonos del Tesoro protegidos contra la inflación (TIPS) y comenta el fenómeno inusual de que la tasa de rendimiento de bonos del Tesoro a 10 años nominales es menor a la expectativa de inflación implicada por el mercado de bonos. La razón de tal fenómeno: la tasa negativa de los TIPS.

Investor demand for 10-year Treasury notes in conjunction with steady Fed purchases of debt in the sector has driven the benchmark yield – at 1.87 per cent – below the bond market’s expectation for inflation over the next decade – 2.01 per cent – as measured by 10-year Tips.

Historically, 10-year Treasury yields have been well above long-term inflation expectations as the fixed rate of cash bonds is eroded over time by higher inflation.

The current divergence illustrates that investors are not fighting the central bank’s policy of keeping yields artificially low via the Twist. But the current level of inflation expectations also reveals concern that the Fed will create higher inflation that subsequently erodes the low returns of Treasury bonds.

The current dynamic in the market entails that owners of cash Treasuries are taking a big risk should inflation rise over the next decade, which would reward buyers of Tips.

Ilustramos esto con una gráfica tomada de La Carpeta Negra:

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