March 05, 2021
Research Data Series: Index of Common Inflation Expectations
In an earlier FEDS Note, "Index of Common Inflation Expectations," we introduced the Index of Common Inflation Expectations, or "CIE", which summarizes the comovement of a wide variety of inflation expectations measures based on a dynamic factor model.
At least on an experimental basis, we plan to publish the CIE as a research data series on a quarterly basis. The March 5, 2021 update contains estimates of the CIE through 2020Q4. Further updates will be posted at noon Eastern Time on the third Friday of the first month of each quarter (January, April, July, and October). However, if this date falls on the Friday just prior to an FOMC meeting, then the update will instead be posted on the first Friday following the FOMC meeting. These updates will include initial estimates for the quarter that just ended, as well as any revisions to estimates for previous quarters.
Please refer to the earlier FEDS Note for details on the data and methodology.
As an experimental research series, the CIE may be discontinued at any time. Accordingly, it should be used for informational purposes only. The Board of Governors of the Federal Reserve System and its staff will not be liable for any damages arising out of, or in connection with, the use of CIE or the inability to use the CIE.
Ahn, Hie Joo, and Chad Fulton (2021). "Research Data Series: Index of Common Inflation Expectations," FEDS Notes. Washington: Board of Governors of the Federal Reserve System, March 05, 2021, https://doi.org/10.17016/2380-7172.2873.
Disclaimer: FEDS Notes are articles in which Board staff offer their own views and present analysis on a range of topics in economics and finance. These articles are shorter and less technically oriented than FEDS Working Papers and IFDP papers.