88 Note: panel A regresses 10-year break-even inflation rate on TIPS liquidity and the first three principal components for U.
I identity the liquidity component in TIPS yields through the difference between the observed break-even inflation rates (BEI) and the inflation swap rates, the latter regarded as synthetic BEI.
I identify the liquidity component in TIPS yields through the difference between the observed break-even inflation rates and the inflation swap rates, which are considered as a synthetic BEI
A inflacao implicita ou break-even inflation rate
(BEIR) e definida como o spread entre o retorno de um titulo convencional prefixado e o retorno medio de um titulo indexado em inflacao, com taxas de juros fixas e, para um mesmo vencimento.
It shows that during the early years of the TIPS program, the auction break-even inflation rate was lower than median inflation expectations of professional forecasters.
As of June 2008, however, the break-even inflation rate at the ten-year maturity point was about 2.
Deviations of actual inflation from the break-even inflation rate generate a stream of differences in payments on the nominal and inflation-indexed securities over the maturity of those issues.
The break-even inflation rates for all auctions (including reopenings) of TIIS to date are shown in Table 2, column 5.
This formula can be used to calculate implied forward rates for nominal and real interest rates, and break-even inflation rates.
Figures 9 and 10 below plot break-even inflation rates for the US and UK across a variety of maturities.