IDEAS home Printed from https://ideas.repec.org/a/fip/fedfel/94460.html

The Increase in Inflation Compensation: What’s Up?

Author

Listed:
  • Jens H. E. Christensen

Abstract

Supply and demand imbalances associated with the COVID-19 pandemic have contributed to a sharp increase in price inflation since early 2021. In response, market-based measures of short-term inflation compensation have risen sharply in the United States. Survey-based measures suggest that this has not affected longer-term inflation expectations. However, analyzing the difference between market prices of standard and inflation-indexed government bonds provides tentative indications that investors have raised their 10-year inflation expectations since spring 2021 to levels above their historical range.

Suggested Citation

  • Jens H. E. Christensen, 2022. "The Increase in Inflation Compensation: What’s Up?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2022(18), pages 1-06, July.
    • Handle: RePEc:fip:fedfel:94460
    as

    Download full text from publisher

    File URL: https://www.frbsf.org/wp-content/uploads/sites/4/el2022-18.pdf
    File Function: Full text - article PDF
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Jens H. E. Christensen & Glenn D. Rudebusch, 2015. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 226-259.
    2. Adam Hale Shapiro, 2022. "How Much Do Supply and Demand Drive Inflation?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, vol. 2022(15), pages 1-06, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bonaparte, Yosef & Fabozzi, Frank J. & Peron, Matt, 2025. "Measuring transitory inflation: Implications for monetary policy and stock market volatility," Journal of International Money and Finance, Elsevier, vol. 153(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Garcia-Revelo, José & Levieuge, Grégory & Sahuc, Jean-Guillaume, 2025. "Revisiting 15 years of unusual transatlantic monetary policies," Journal of International Money and Finance, Elsevier, vol. 159(C).
    2. Julian di Giovanni & Şebnem Kalemli-Özcan & Alvaro Silva & Muhammed A Yildirim, "undated". "Pandemic-era Inflation Drivers and Global Spillovers," RBA Annual Conference Papers acp2023-01, Reserve Bank of Australia, revised Nov 2023.
    3. Shigenori Shiratsuka, 2025. "Monetary Policy Effectiveness under the Ultra‐Low Interest Rate Environment: Evidence from Yield Curve Dynamics in Japan," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 87(1), pages 98-121, February.
    4. Marco Lo Duca & Diego Moccero & Fabio Parlapiano, 2024. "The impact of macroeconomic and monetary policy shocks on the default risk of the euro-area corporate sector," Temi di discussione (Economic working papers) 1460, Bank of Italy, Economic Research and International Relations Area.
    5. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
    6. Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
    7. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    8. Hibiki Ichiue & Yoichi Ueno, 2018. "A Survey-based Shadow Rate and Unconventional Monetary Policy Effects," IMES Discussion Paper Series 18-E-05, Institute for Monetary and Economic Studies, Bank of Japan.
    9. repec:ags:aaea22:343998 is not listed on IDEAS
    10. Alfaro, Rodrigo & Piña, Marco, 2023. "Estimates of the US Shadow-Rate," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(1).
    11. Martin Hodula, 2019. "Monetary Policy and Shadow Banking: Trapped between a Rock and a Hard Place," Working Papers 2019/5, Czech National Bank, Research and Statistics Department.
    12. Jens H. E. Christensen & Glenn D. Rudebusch, 2019. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
    13. Бирликбай Алишер // Birlikbay Alisher & Сейдахметов Ансар // Seidakhmetov Ansar, 2023. "Декомпозиция продовольственной инфляции на факторы спроса и предложения. // Decomposing the basket of goods into supply- and demand-driven categories to analyze food inflation in Kazakhstan," Working Papers #2023-10, National Bank of Kazakhstan.
    14. Nassar S. Al-Nassar & Abdulrahman A. Albahouth, 2023. "Inflation Spillovers among Advanced and Emerging Economies: Evidence from the G20 Group," Economies, MDPI, vol. 11(4), pages 1-25, April.
    15. Serdar Birinci & Yusuf Mercan & Kurt See, 2024. "Mismatch Unemployment During COVID-19 and the Post-Pandemic Labor Shortages," Research Working Paper RWP 24-10, Federal Reserve Bank of Kansas City.
    16. Michael D. Bauer & Glenn D. Rudebusch, 2016. "Monetary Policy Expectations at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(7), pages 1439-1465, October.
    17. Andreas Schrimpf & Markus Sihvonen, 2025. "Inflation and the joint bond-FX spanning puzzle," BIS Working Papers 1320, Bank for International Settlements.
    18. Anttila, Juho, 2018. "Measuring the effects of conventional and unconventional monetary policy in the euro area," Research Discussion Papers 12/2018, Bank of Finland.
    19. Aigner, Philipp & Schlütter, Sebastian, 2023. "Enhancing gradient capital allocation with orthogonal convexity scenarios," ICIR Working Paper Series 47/23, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    20. Jens H. E. Christensen & Jose A. Lopez & Paul L. Mussche, 2022. "Extrapolating Long-Maturity Bond Yields for Financial Risk Measurement," Management Science, INFORMS, vol. 68(11), pages 8286-8300, November.
    21. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedfel:94460. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Federal Reserve Bank of San Francisco Research Library (email available below). General contact details of provider: https://edirc.repec.org/data/frbsfus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.