Term Structures of Inflation Expectations and Real Interest Rates
利用统计模型结合多种调查数据，构建任意期限的通胀预期期限结构及对应的实际利率期限结构，发现模型提取的通胀预期能很好追踪实际通胀，预测精度不逊于甚至优于常用替代方法，且得到的实际利率与通胀保值国债利率吻合。
I use a statistical model to combine various surveys to produce a term structure of inflation expectations—inflation expectations at any horizon—and an associated term structure of real interest rates. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they are at par with or superior to some popular alternatives. The real interest rates obtained from the model follow Treasury Inflation-Protected Securities rates as well.