PT - JOURNAL ARTICLE AU - Brian Sack TI - Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields AID - 10.3905/jfi.2000.319266 DP - 2000 Sep 30 TA - The Journal of Fixed Income PG - 6--17 VI - 10 IP - 2 4099 - https://pm-research.com/content/10/2/6.short 4100 - https://pm-research.com/content/10/2/6.full AB - 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.