0
$\begingroup$

Here's an example of the kind of thing I'm looking for https://fred.stlouisfed.org/series/T10YIE

I'm also happy to perform transformation on other data to get an estimated/approximated daily value if anyone is acquainted with a good method to do so

$\endgroup$
1
2
$\begingroup$

These are breakeven curves, you should make it clear that you are looking for the forward expectation of inflation, not observed inflation (i.e. not the CPI indexes).

They are not normally published because they are derived from bond or swap prices which are typically proprietary to the relevant trading platform.

UK publishes breakevens for RPI (not CPI) here: https://www.bankofengland.co.uk/statistics/yield-curves

Note, you also need to distinguish between curves derived from inflation swaps, and curves derived from inflation linked bonds. They won't be identical.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.