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Federal Reserve Bank of Philadelphia
Working Papers
Term structures of inflation expectations and real interest rates
S. Boragan Aruoba
Abstract

Revised September 2016. In this paper, 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. Looking at the period 2008.2015, I conclude that long-run inflation expectations remained anchored, and the policies of the Federal Reserve provided a large level of monetary stimulus to the economy.


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S. Boragan Aruoba, Term structures of inflation expectations and real interest rates, Federal Reserve Bank of Philadelphia, Working Papers 16-9, 14 Mar 2016, revised 20 Sep 2016.
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Keywords: Surveys; TIPS; Inflation swaps; Unconventional monetary policy; Treasury Inflation-Protected Securities (TIPS)
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