@article {Sack6, author = {Brian Sack}, title = {Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields}, volume = {10}, number = {2}, pages = {6--17}, year = {2000}, doi = {10.3905/jfi.2000.319266}, publisher = {Institutional Investor Journals Umbrella}, abstract = {This article derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for inflation expectations if the inflation risk premium is small. Calculations suggest that the rate of inflation expected over the next ten years fell from just under 3\% in mid-1997 to just under 13/4\% by early 1999, before returning to about 21/2\% by the beginning of 2000. This variation is more extensive than would have been expected from a simple model of inflation dynamics or from a survey measure of long-run inflation expectations.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/10/2/6}, eprint = {https://jfi.pm-research.com/content/10/2/6.full.pdf}, journal = {The Journal of Fixed Income} }