A new approach to gauging inflation expectations

Joseph Haubrich

Economic Commentary, 2009, vol. 2009, issue Aug, 4

Abstract: This Economic Commentary explains a relatively new method of uncovering inflation expectations, real interest rates, and an inflation-risk premium. It provides estimates of expected inflation from one month to 30 years, an estimate of the inflation-risk premium, and a measure of real interest rates, particularly a short (one-month) rate, which is not readily available from the TIPS market. Calculations using the method suggest that longer-term inflation expectations remain near historic lows. Furthermore, the inflation-risk premium is also low, which in the model means that inflation is not expected to deviate far from expectations.

Keywords: Inflation (Finance); Inflation risk; Interest rates (search for similar items in EconPapers)
Date: 2009
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DOI: 10.26509/frbc-ec-200908

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