Abstract

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.

中文翻译：

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通货膨胀预期和实际利率的期限结构

摘要

我使用统计模型来组合各种调查，以得出通胀预期的期限结构（任何水平的通胀预期）以及相关的实际利率期限结构。从该模型跟踪中得出的通货膨胀预期很好地实现了通货膨胀，就预测准确性而言，它们与某些流行替代方案相当或优于。从模型中获得的实际利率也遵循国债通胀保护的证券利率。