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A new approach to gauging inflation expectations

Author

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  • Joseph G. Haubrich

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.

Suggested Citation

  • Joseph G. Haubrich, 2009. "A new approach to gauging inflation expectations," Economic Commentary, Federal Reserve Bank of Cleveland, vol. 2009(Aug), pages 1-4.
    • Handle: RePEc:fip:fedcec:y:2009:i:aug
    DOI: 10.26509/frbc-ec-200908
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    Cited by:

    1. J. James Reade, 2011. "Modelling Monetary and Fiscal Policy in the US: A Cointegration Approach," Discussion Papers 11-02, Department of Economics, University of Birmingham.
    2. Dzmitry Kruk, 2016. "SVAR Approach for Extracting Inflation Expectations Given Severe Monetary Shocks: Evidence from Belarus," BEROC Working Paper Series 39, Belarusian Economic Research and Outreach Center (BEROC).

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