Measuring market inflation expectations
AbstractOf the available measures of inflation expectations, those available with highest frequency are taken from financial market pricing — so-called ‘break-even’ inflation rates from the bond market and the market for inflation swaps. Bond market derived measures — which can be subject to both positive and negative biases — suggest medium-term inflation expectations are currently anchored within the Reserve Bank of Australia’s target band. Inflation swap rates — which can be subject to their own biases — also suggest that medium-term expectations are well contained. Finally, forward inflation expectations derived from the inflation swaps curve suggest that the market concurs with Treasury estimates that the introduction of the carbon price will have a modest, one-off impact on headline CPI of around 0.7 per cent in 2012-13.
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Bibliographic InfoArticle provided by Treasury, Australian Government in its journal Economic Roundup.
Volume (Year): (2012)
Issue (Month): 2 (August)
bond market; inflation; carbon price;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Richard Finlay & Sebastian Wende, 2012.
"Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds,"
International Journal of Central Banking, International Journal of Central Banking,
International Journal of Central Banking, vol. 8(2), pages 111-142, June.
- Richard Finlay & Sebastian Wende, 2011. "Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds," RBA Research Discussion Papers, Reserve Bank of Australia rdp2011-01, Reserve Bank of Australia.
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