Accessible Version

Accessible Version

Estimated Index of Common Inflation Expectations (projected onto SPF 10-year-ahead PCE inflation expectations)

Percent

Date CIE index, projected onto SPF, 10−year PCE inflation
1/1/1999 2.0354
4/1/1999 2.0643
7/1/1999 2.0922
10/1/1999 2.0987
1/1/2000 2.0837
4/1/2000 2.0671
7/1/2000 2.0591
10/1/2000 2.0673
1/1/2001 2.0779
4/1/2001 2.0886
7/1/2001 2.0828
10/1/2001 2.0819
1/1/2002 2.0907
4/1/2002 2.1013
7/1/2002 2.1027
10/1/2002 2.0987
1/1/2003 2.0938
4/1/2003 2.0908
7/1/2003 2.1071
10/1/2003 2.1274
1/1/2004 2.1396
4/1/2004 2.1422
7/1/2004 2.1335
10/1/2004 2.1240
1/1/2005 2.1171
4/1/2005 2.1134
7/1/2005 2.1114
10/1/2005 2.1152
1/1/2006 2.1178
4/1/2006 2.1242
7/1/2006 2.1198
10/1/2006 2.1064
1/1/2007 2.0911
4/1/2007 2.0895
7/1/2007 2.0945
10/1/2007 2.1074
1/1/2008 2.1283
4/1/2008 2.1364
7/1/2008 2.1158
10/1/2008 2.0831
1/1/2009 2.0749
4/1/2009 2.0989
7/1/2009 2.1240
10/1/2009 2.1269
1/1/2010 2.1180
4/1/2010 2.1027
7/1/2010 2.0952
10/1/2010 2.1090
1/1/2011 2.1287
4/1/2011 2.1338
7/1/2011 2.1176
10/1/2011 2.0978
1/1/2012 2.0968
4/1/2012 2.1009
7/1/2012 2.1022
10/1/2012 2.1024
1/1/2013 2.1012
4/1/2013 2.0918
7/1/2013 2.0837
10/1/2013 2.0815
1/1/2014 2.0820
4/1/2014 2.0711
7/1/2014 2.0503
10/1/2014 2.0247
1/1/2015 2.0105
4/1/2015 2.0087
7/1/2015 2.0063
10/1/2015 1.9896
1/1/2016 1.9708
4/1/2016 1.9616
7/1/2016 1.9655
10/1/2016 1.9827
1/1/2017 1.9951
4/1/2017 1.9929
7/1/2017 1.9870
10/1/2017 1.9886
1/1/2018 2.0001
4/1/2018 2.0062
7/1/2018 2.0011
10/1/2018 1.9904
1/1/2019 1.9825
4/1/2019 1.9771
7/1/2019 1.9705
10/1/2019 1.9653
1/1/2020 1.9697

Note: The shaded area denotes a 95% confidence interval. The horizontal dotted line is marked at 2%. SPF is Survey of Professional Forecasters; PCE is personal consumption expenditures; CIE is common inflation expectations.

Source: Ahn and Fulton (2020).

Stochastic Simulation Result of FRB/US Model under Model-Consistent Expectations
  ELB frequency (percent) Mean duration of ELB (quarters) Mean output gap Mean inflation rate RMSD of output gap RMSD of inflation rate Loss
1. Taylor 38.3 10.9 -1.1 1.2 3.5 2.2 17.2
2. Taylor (inertial) 33.6 20.7 -1.4 1.0 3.9 2.4 20.7
3. Flexible price-level target 32.6 8.5 -.4 2.0 3.6 1.5 15.2
4. Flexible price-level target (inertial) 24.6 13.8 -.6 2.0 4.4 1.5 21.8
5. Flexible temporary price-level target 17.6 12.9 .3 2.4 3.4 1.6 14.5
6. Temporary price-level target 16.3 12.5 .0 2.3 3.1 1.7 12.6
7. Temporary price-level target (3-yr. memory) 15.6 11.2 .3 2.4 2.7 1.6 9.6
8. Temporary price-level target (1-yr. memory) 15.1 9.4 .2 2.3 2.5 1.5 8.5
9. Reifschneider-Williams 28.1 10.1 .2 2.1 2.4 1.6 8.0
10. Kiley-Roberts change rule 37.0 16.9 -.1 2.1 1.9 1.4 5.7

Note: Results based on 500 simulations of 100 quarters each. $$Loss={\frac{1}{N}}{\frac{1}{K}}{\Sigma_{j=1}^{K}}{\Sigma_{t=1}^{N}}{\left [ \left ( \pi _{t,j}-\pi^* \right )^{2} + \widehat{\gamma}_{t,j}^{2} \right ]}$$ for t, j period-simulations. FRB/US is the Federal Reserve’s principal simulation model; ELB is effective lower bound; RMSD is root mean square deviation.

Source: Bernanke, Kiley, and Roberts (2019).

Last Update: January 13, 2021