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Term Structures of Inflation Expectations and Real Interest Rates

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  • S. Borağan Aruoba

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.

Suggested Citation

  • S. Borağan Aruoba, 2020. "Term Structures of Inflation Expectations and Real Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 542-553, July.
    • Handle: RePEc:taf:jnlbes:v:38:y:2020:i:3:p:542-553
    DOI: 10.1080/07350015.2018.1529599
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    More about this item

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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