Finance and Economics Discussion Series (FEDS)
The TIPS Yield Curve and Inflation Compensation
Refet S. Gürkaynak, Brian Sack, and Jonathan H. WrightData - Excel file (CSV) | Data - Screen reader
For over ten years, the U.S. Treasury has issued index-linked debt. Federal Reserve Board staff have fitted a yield curve to these indexed securities at the daily frequency from the start of 1999 to the present. This paper describes the methodology that is used and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation (or breakeven inflation rates) to be computed. We discuss the interpretation of inflation compensation and its relationship to inflation expectations and uncertainty, offering some empirical evidence that these measures are affected by an inflation risk premium that varies considerably at high frequency. In addition, we also find evidence that inflation compensation was held down in the early years of the sample by a premium associated with the illiquidity of TIPS at the time. We hope that the TIPS yield curve and inflation compensation data, which are posted here and will be updated periodically, will provide a useful tool to applied economists.
Note: On November 5, 2019, the location of this data changed. The new files, updated weekly, and FAQs can be found at “TIPS Yield Curve and Inflation Compensation.” A version of the data before November 5 can be found here.
Data - Excel file (1.8 MB XLS) | Data - Screen reader | Data - XML (sdmx/zip)
Keywords: Yield curve, treasury market, inflation compensation, risk premia
PDF: Full Paper
Disclaimer: The economic research that is linked from this page represents the views of the authors and does not indicate concurrence either by other members of the Board's staff or by the Board of Governors. The economic research and their conclusions are often preliminary and are circulated to stimulate discussion and critical comment. The Board values having a staff that conducts research on a wide range of economic topics and that explores a diverse array of perspectives on those topics. The resulting conversations in academia, the economic policy community, and the broader public are important to sharpening our collective thinking.