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Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields (in English)
Brian Sack
(Author)
·
United States Federal Reserve Board
(Author)
·
Bibliogov
· Paperback
Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields (in English) - Sack, Brian ; United States Federal Reserve Board
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Synopsis "Finance and Economics Discussion Series: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields (in English)"
This paper derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for inflation expectations if the inflation risk premium is small. The calculated measure suggests that the rate of inflation expected over the next ten years fell from just under 3% in mid-1997 to just under 1 3/4% by early 1999, before rising back to about 2 1/2% by the beginning of 2000. This variation is more extensive than would have been expected from a simple model of inflation dynamics or from a survey measure of long-run inflation expectations.
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The book is written in English.
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