Creating a History of U.S. Inflation Expectations

Central bankers closely monitor inflation expectations because they’re an important determinant of actual inflation. Treasury inflation-protected securities (TIPS) are commonly used to measure bond market inflation expectations. Unfortunately, they were only introduced in 1997, so historical data are limited. We propose a solution to this problem by using the relationship between TIPS yields and other data with a longer history to construct synthetic TIPS rates going back to 1971.

FRBNY — Liberty Street Economics
Creating a History of U.S. Inflation Expectations
Jan Groen and Menno Middeldorp