Search Results

SORT BY: PREVIOUS / NEXT
Keywords:expected inflation 

Report
Decomposing real and nominal yield curves

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and Treasury yield curves that adjusts for TIPS? relative illiquidity. Our estimation using linear regressions is computationally very fast and can accommodate unspanned factors. The baseline specification with six principal components extracted from Treasury and TIPS yields, in combination with a liquidity factor, generates negligibly small pricing errors for both real and nominal yields. Model-implied expected inflation provides a better prediction of actual inflation than ...
Staff Reports , Paper 570

Discussion Paper
The Persistent Compression of the Breakeven Inflation Curve

Breakeven inflation, defined as the difference in the yield of a nominal Treasury security and a Treasury Inflation-Protected Security (TIPS) of the same maturity, is closely watched by market participants and policymakers alike. Breakeven inflation rates provide a signal about the expected path of inflation as perceived by market participants although they are also affected by risk and liquidity premia. In this post, we scrutinize the dynamics of breakeven inflation, highlighting some intriguing behavior which has persisted for a number of years and even through the pandemic. In particular, ...
Liberty Street Economics , Paper 20210333

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

Crump, Richard K. 2 items

Abrahams, Michael 1 items

Adrian, Tobias 1 items

Gospodinov, Nikolay 1 items

Moench, Emanuel 1 items

Volker, Desi 1 items

show more (1)

FILTER BY Jel Classification

E43 1 items

E44 1 items

G1 1 items

G12 1 items

FILTER BY Keywords

PREVIOUS / NEXT