Inflation Expectations

Creating a History of U.S. Inflation Expectations

We propose a solution to the lack of a long history of U.S. TIPS rates by using the relationship between TIPS yields and other data with a longer history to construct synthetic TIPS rates going back to 1971. Published on Liberty Street Economics, August 21 2013.

Time-Varying Inflation Expectations and Economic Fluctuations in the United Kingdom: A Structural VAR Analysis

This paper examines the interaction between inflation expectations and nominal and real macroeconomic variables for the United Kingdom through a Markov-switching structural vector autoregressive framework with variants of the sign restriction identification scheme to back out the time-varying effect of different structural shocks.