Because off-the-run securities are less liquid than newly issued (on-the-run) securities, they provide a more appropriate benchmark against which to compare the yields of relatively illiquid inflation-indexed bonds.
4  As Sack (2000) has pointed out, this difference in duration implies that the breakeven inflation rate may be sensitive to the expected profile of future short real rates or be affected by differences in risk premiums arising from different exposure to interest-rate risk.