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Inflation Expectations

How often are the inflation expectations updated?

The inflation expectations model is run on the day of the month that the CPI is released. The model results are released before 4 pm on that day.

How should I think about the inflation expectations results?

The numbers we report are annualized, so 1.5 percent for the 10-year inflation expectation means that inflation is expected to average 1.5 percent per year over the next 10 years.

How should I interpret the dates on the Excel spreadsheet?

Column A, or the first vertical row, is the date that the model is run, so, for example, the date 12/1/2015 is the model output for the month of December 2015. The Cleveland Fed’s inflation model is based on data from different points in the month, so we call the output a monthly figure of inflation expectations.

What input data does the model use?

The inflation expectation model uses:

  • Blue Chip forecast of CPI
  • Inflation swap data
  • CPI numbers for the current month
  • CPI data from vintage FRED
  • 1-month to 6-month treasury bill yield at constant maturity
  • 1-year to 15-year US treasury yield: continuously compounded zero-coupon
  • Survey of Professional Forecasters median year-over-year CPI inflation rate for the next 10 years