Term structures of inflation expectations and real interest rates

S. Boragan Aruoba

No 16-9, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: Revised September 2016. In this paper, I use a statistical model to combine various surveys to produce a term structure of inflation expectations--inflation expectations at any horizon--and an associated term structure of real interest rates. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they are at par with or superior to some popular alternatives. Looking at the period 2008.2015, I conclude that long-run inflation expectations remained anchored, and the policies of the Federal Reserve provided a large level of monetary stimulus to the economy.

Keywords: Surveys; TIPS; Inflation swaps; Unconventional monetary policy; Treasury Inflation-Protected Securities (TIPS) (search for similar items in EconPapers)
JEL-codes: C32 E31 E43 E58 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2016-03-14
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Term Structures of Inflation Expectations and Real Interest Rates (2020)
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