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A new summary measure of inflation expectations

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  • Kapetanios, George
  • Maule, Becky
  • Young, Garry

Abstract

This note uses the well-known Nelson–Siegel approach to modelling the term structure of interest rates to construct a summary measure of the term structure of inflation expectations from a diverse set of indicators. The proposed measure captures the signal contained in UK surveys and provides some information for monetary policymakers.

Suggested Citation

  • Kapetanios, George & Maule, Becky & Young, Garry, 2016. "A new summary measure of inflation expectations," Economics Letters, Elsevier, vol. 149(C), pages 83-85.
    • Handle: RePEc:eee:ecolet:v:149:y:2016:i:c:p:83-85
    DOI: 10.1016/j.econlet.2016.10.010
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    References listed on IDEAS

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    1. S. Borağan Aruoba, 2020. "Term Structures of Inflation Expectations and Real Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(3), pages 542-553, July.
    2. Diebold, Francis X. & Li, Canlin, 2006. "Forecasting the term structure of government bond yields," Journal of Econometrics, Elsevier, vol. 130(2), pages 337-364, February.
    3. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    4. Domit, Sílvia & Jackson, Chris & Roberts-Sklar , Matt, 2015. "Do inflation expectations currently pose a risk to inflation?," Bank of England Quarterly Bulletin, Bank of England, vol. 55(55), pages 165-180.
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    Cited by:

    1. Jason Lennard & Finn Meinecke & Solomos Solomou, 2023. "Measuring inflation expectations in interwar Britain," Economic History Review, Economic History Society, vol. 76(3), pages 844-870, August.
    2. Dzmitry Kruk, 2016. "SVAR Approach for Extracting Inflation Expectations Given Severe Monetary Shocks: Evidence from Belarus," BEROC Working Paper Series 39, Belarusian Economic Research and Outreach Center (BEROC).
    3. McNeil, James, 2023. "Monetary policy and the term structure of inflation expectations with information frictions," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    4. Jose Vicente Romero & Sara Naranjo Saldarriaga, 2022. "Weather Shocks and Inflation Expectations in Semi-Structural Models," IHEID Working Papers 20-2022, Economics Section, The Graduate Institute of International Studies.

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    Keywords

    Term structure; Inflation expectation;

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