TIPS Derived Expected Inflation

By Jun 22, 2009, 12:09 PM Author's Blog  

TIPS Derived Expected Inflation

The chart above shows the weekly, bond market-based 10-year TIPS-derived expected inflation, calculated as the difference between 10-year regular, nominal Treasury yields and 10-year Treasury inflation-indexed yields (St. Louis Fed data here). After a unusual period in late 2008 resulting in a negative spread when the TIPS 10-year yields were above 4%, and higher than regular Treasury yields of about 2%, the Treasury market seems to have stabilized, and the bond market’s 10-year expectation of inflation is back around 2.5%, consistent with the inflationary expectations from 2004-2007.

  • SHARE:
  • Share on StockTwits


SPY209.33  chart+2.54  chart +1.23%
GOOG628.00  chart+0.74  chart +0.12%
AAPL123.38  chart+0.61  chart +0.50%
TSLA264.82  chart+11.81  chart +4.67%
TWTR36.54  chart+1.84  chart +5.30%
BBRY7.80  chart+0.52  chart +7.14%
NFLX106.90  chart+0.47  chart +0.44%
FB95.29  chart+1.12  chart +1.19%

Nikkei20250.15  chart-78.74  chart -0.39%
UK6555.28  chart+50.15  chart +0.77%
France4977.32  chart+49.72  chart +1.01%
Germany11173.91  chart+117.51  chart +1.06%

EUR / USD1.1085  chart+0.0022  chart +0.20%
GBP / USD1.5615  chart+0.0001  chart +0.01%
CAD / USD0.7737  chart-0.0001  chart -0.01%
AUD / USD0.7344  chart-0.0000  chart +0.00%

Gold Fut1096.60  chart+0.30  chart +0.03%
Oil Fut47.85  chart-0.13  chart -0.27%