Term Structures of Inflation Expectations and Real Interest Rates

被引：16

作者：

Aruoba, S. Boragan ^{[1
,2
,3
]}

机构：

[1] Univ Maryland, Dept Econ, College Pk, MD 20742 USA

[2] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA

[3] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 2020年 / 38卷 / 03期

关键词：

Inflation expectations; Nelson-Siegel model; State-space methods; Surveys; YIELD CURVE; TIPS;

D O I：

10.1080/07350015.2018.1529599

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：542 / 553

页数：12

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