Breakeven Inflation Forecast Accuracy — Brian Romanchuk

I received a comment from a reader of my blog (“Lawrence”) that pointed out an article by Jonathan D. Church of the Bureau of Labor Statistics that discussed breakeven inflation implied forecast accuracy (link). The idea is that we want to compare inflation breakeven rates to what inflation is realised over the life of the bond (what the breakeven inflation rate is the expected value of).

I discussed this topic in greater length in Section 3.5 of my book Breakeven Inflation Analysis. The conclusion was not entirely satisfactory: we do not have enough data to do a proper historical analysis of breakeven inflation accuracy.…

Bond Economics
Breakeven Inflation Forecast Accuracy
Brian Romanchuk

http://www.bondeconomics.com/2022/01/breakeven-inflation-forecast-accuracy.html