Inflation expectations have recently received increased interest because of the uncertainty created by the Federal Reserve’s unprecedented reaction to the Great Recession. The effect of this reaction on the real economy is also an important topic. In this paper I use various surveys to produce a term structure of inflation expectations — inflation expectations at any horizon from 3 to 120 months — and an associated term structure of real interest rates.
Term Structures of Inflation Expectations and Real Interest Rates: The Effects of Unconventional Monetary PolicyS. Boragan Aruoba ,
Federal Reserve Bank of Minneapolis Staff Report