The collapse of Lehman Brothers and central banks’ unorthodox monetary policies distorted markets to create some of the biggest pricing anomalies ever documented in bond trading, according to new research from leading US academics.
A paper from the US National Bureau of Economic Research claims to have identified by academic research in fixed income markets the “largest arbitrage ever”.
The paper details how prices for US Treasury inflation-linked securities – government bonds that provide protection against rising prices – and regular Treasury bonds were thrown out of sync by as much as 23 cents on the dollar following the collapse of Lehman Brothers two years ago this week.
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