Narratives and the Term Structure of Inflation Expectations

Jonathan Benchimol and Sathya Mellina

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: We examine how inflation language in FOMC statements and Chair press conferences maps into the breakeven inflation (BEI) term structure from two to ten years. Five indices capture stance, broad and current inflation language, and the Delphic/Odyssean decomposition. Conditional on the high-frequency rate surprise, statement language is associated with lower BEI at short-to-intermediate maturities, consistent with markets reading committee-vetted text through the policy reaction function. Press conferences differ: Delphic language loads positively on long-horizon forwards; Odyssean language compresses the short-to-intermediate segment. Intraday BEI moves positively with every press-conference index; no analogous statement-window effect survives partialling out the rate surprise.

Keywords: central bank communication; breakeven inflation; high-frequency identification; event-study methods; Delphic and Odyssean forward guidance; natural language processing (search for similar items in EconPapers)
JEL-codes: C45 E43 E52 E58 G12 G14 (search for similar items in EconPapers)
Pages: 66 pages
Date: 2026-05
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2026-29

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