%0 Journal Article %A Brian Sack %T Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields %D 2000 %R 10.3905/jfi.2000.319266 %J The Journal of Fixed Income %P 6-17 %V 10 %N 2 %X 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. %U https://jfi.pm-research.com/content/iijfixinc/10/2/6.full.pdf