Halfway through November, TIPS 10-year at -0.876% and ten-year adjusted for median expected inflation (from November Survey of Professional Forecasters, released today) at -1.264%.
(Click on image to enlarge)
Figure 1: Nominal ten-year constant maturity Treasury yields (black line), CBO projection (green line), WSJ November survey mean yields (orange +), Survey of Professional Forecasters November survey mean yields (pink line), TIPS ten year constant maturity yields (red line), ten-year expected inflation-adjusted (real) yields (lavender x). Inflation adjustment using Survey of Professional Forecasters (SPF) median survey response for 10 year CPI inflation. Source: Federal Reserve via FRED, CBO (July), SPF, and author’s calculations.
Perspective on how low real rates are now, and how previous forecasts have overshot the actual ex-post increase in yields, in this post.
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