Creating a History of U.S. Inflation Expectations

Jan Groen and Menno Middeldorp ()

No 20130821, Liberty Street Economics from Federal Reserve Bank of New York

Abstract: Central bankers closely monitor inflation expectations because they?re an important determinant of actual inflation. Treasury inflation-protected securities (TIPS) are commonly used to measure bond market inflation expectations. Unfortunately, they were only introduced in 1997, so historical data are limited. We propose a solution to this problem by using the relationship between TIPS yields and other data with a longer history to construct synthetic TIPS rates going back to 1971.

Keywords: backcasting; inflation expectations; PLS regression (search for similar items in EconPapers)
JEL-codes: E2 G1 (search for similar items in EconPapers)
Date: 2013-08-21
New Economics Papers: this item is included in nep-his, nep-mac and nep-mon
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