Term Structures of Inflation Expectations and Real Interest Rates

S. Boragan Aruoba

Journal of Business & Economic Statistics, 2020, vol. 38, issue 3, 542-553

Abstract: 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. The real interest rates obtained from the model follow Treasury Inflation-Protected Securities rates as well.

Date: 2020
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Working Paper: Term structures of inflation expectations and real interest rates (2016)
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DOI: 10.1080/07350015.2018.1529599

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