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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields

Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields

Sack, Brian
United States Federal Reserve Board

Paperback

General Political Science

ISBN10: 1288716990
ISBN13: 9781288716999
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 28
Weight: 0.15
Height: 0.06 Width: 7.44 Depth: 9.69
Language: English
This paper derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for inflation expectations if the inflation risk premium is small. The calculated measure suggests that the rate of inflation expected over the next ten years fell from just under 3% in mid-1997 to just under 1 3/4% by early 1999, before rising back to about 2 1/2% by the beginning of 2000. This variation is more extensive than would have been expected from a simple model of inflation dynamics or from a survey measure of long-run inflation expectations.

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