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Gauging Inflation: a financial markets approach

Gauging Inflation: a financial markets approach. Measuring Inflation Accurately and Effectively Inflation, Monetary Policy, and the Public Joseph Haubrich 30 May 2014

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Gauging Inflation: a financial markets approach

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  1. Gauging Inflation: a financial markets approach Measuring Inflation Accurately and Effectively Inflation, Monetary Policy, and the PublicJoseph Haubrich 30 May 2014 The views expressed herein are those of the author and are not necessarily those of the Federal Reserve Bank of Cleveland or of the Board of Governors of the Federal Reserve System

  2. Why look at financial markets? • Aggregate information • Money where mouth is • Frequent data • Caution: Comparability • CPI vs PCE • CPI-U vs CPI-W • Man in street?

  3. Ten Year Breakeven Rate from TIPS Percent Source: Haver Analytics

  4. Inflation: Ten Year Swaps and Ten Year SPF Forecast Percent Source: Survey of Professional Forecasters/Haver analytics

  5. Cleveland Model: Ten-Year Expected Inflation Percent Expected Inflation Inflation Risk Premium Source: Haubrich, Pennacchi, Ritchken (2012)

  6. Cle Model: Ten-Year Expected Inflation Percent Expected Inflation Inflation Risk Premium Source: Haubrich, Pennacchi, Ritchken (2012)

  7. Expected Inflation Yield Curve Percent May 2014 April 2014 May 2013 Horizon (years) Source: Haubrich, Pennacchi, Ritchken (2012)

  8. 3-Year, 2-Year-Forward Inflation Rate Percent Source: Haubrich, Pennacchi, Ritchken (2012)

  9. Gauging Inflation: a financial markets approach Measuring Inflation Accurately and Effectively Inflation, Monetary Policy, and the PublicJoseph Haubrich 30 May 2014

  10. Term Structure of Expected Inflation Source: Haubrich, Pennacchi, Ritchken (2012)

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