RT Journal Article
SR Electronic
T1 Measuring Equilibrium Real Interest Rates
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 61
OP 69
DO 10.3905/jfi.2001.319306
VO 11
IS 3
A1 Antulio N. Bomfim
YR 2001
UL https://pm-research.com/content/11/3/61.abstract
AB What does the level of real interest rates tell us about where the economy, or our portfolio, is headed? The answer depends on one's estimate of the “equilibrium” value of real interest rates, a measure that is not directly observable in the marketplace. This article provides a brief overview of some approaches to defining and measuring equilibrium real rates, and introduces a novel method based on yields on the U.S. Treasury's inflation-indexed securities (TIIS). A simple framework for analyzing TIIS yields illustrates how to use them to gauge the stance of monetary policy and overall economic prospects.