Tuesday , November 5 2024
Home / Mike Norman Economics / Breakeven Inflation Forecast Accuracy — Brian Romanchuk

Breakeven Inflation Forecast Accuracy — Brian Romanchuk

Summary:
I received a comment from a reader of my blog (“Lawrence”) that pointed out an article by Jonathan D. Church of the Bureau of Labor Statistics that discussed breakeven inflation implied forecast accuracy (link). The idea is that we want to compare inflation breakeven rates to what inflation is realised over the life of the bond (what the breakeven inflation rate is the expected value of).I discussed this topic in greater length in Section 3.5 of my book Breakeven Inflation Analysis. The conclusion was not entirely satisfactory: we do not have enough data to do a proper historical analysis of breakeven inflation accuracy.…Bond Economics Breakeven Inflation Forecast AccuracyBrian Romanchukhttp://www.bondeconomics.com/2022/01/breakeven-inflation-forecast-accuracy.html

Topics:
Mike Norman considers the following as important:

This could be interesting, too:

Jodi Beggs writes Economists Do It With Models 1970-01-01 00:00:00

Mike Norman writes 24 per cent annual interest on time deposits: St Petersburg Travel Notes, installment three — Gilbert Doctorow

Lars Pålsson Syll writes Daniel Waldenströms rappakalja om ojämlikheten

Merijn T. Knibbe writes ´Fryslan boppe´. An in-depth inspirational analysis of work rewarded with the 2024 Riksbank prize in economic sciences.

I received a comment from a reader of my blog (“Lawrence”) that pointed out an article by Jonathan D. Church of the Bureau of Labor Statistics that discussed breakeven inflation implied forecast accuracy (link). The idea is that we want to compare inflation breakeven rates to what inflation is realised over the life of the bond (what the breakeven inflation rate is the expected value of).

I discussed this topic in greater length in Section 3.5 of my book Breakeven Inflation Analysis. The conclusion was not entirely satisfactory: we do not have enough data to do a proper historical analysis of breakeven inflation accuracy.…

Bond Economics
Breakeven Inflation Forecast Accuracy
Brian Romanchuk
http://www.bondeconomics.com/2022/01/breakeven-inflation-forecast-accuracy.html
Mike Norman
Mike Norman is an economist and veteran trader whose career has spanned over 30 years on Wall Street. He is a former member and trader on the CME, NYMEX, COMEX and NYFE and he managed money for one of the largest hedge funds and ran a prop trading desk for Credit Suisse.

Leave a Reply

Your email address will not be published. Required fields are marked *