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Yield Curve Models and Data

TIPS Yield Curve and Inflation Compensation

In addition to nominal Treasury securities, whose principal and any coupon payments are specified as fixed dollar amounts at the time of issuance, the U.S. Treasury issues Treasury inflation-protected securities (TIPS). The principal and coupon payments on TIPS are adjusted for inflation as measured by the change in the consumer price index (CPI) between the time of issuance and the time of the relevant payment. Since the rate of future inflation is unknown, the dollar amounts of future payments received by TIPS investors are uncertain: The higher the rate of inflation between issuance and payment, the higher the dollar amount of the payment. Because TIPS are riskless in real (as opposed to nominal) terms, yields on TIPS are often thought of as “real yields.”

Just as for nominal securities, we can fit a smooth curve to the cross section of market-implied yields on TIPS on any given day. In addition, by comparing the fitted TIPS yield to the fitted nominal yield for the same maturity, we can derive a measure of inflation compensation or breakeven inflation, defined as the rate of inflation at which TIPS and nominal Treasury securities with identical maturities will yield the same return. If actual future inflation exceeds inflation compensation, TIPS will end up having a higher return than nominal Treasury securities, and vice versa. Inflation compensation thus serves as a gauge of investors’ inflation expectations, although it may also be driven by risk premiums.

This page provides daily estimated real yield curve parameters, smoothed yields on hypothetical TIPS, and implied inflation compensation, from 1999 to the present.1

Data: CSV | HTML
Note: Following a new estimation of the TIPS yield curve, estimates of TIPS yields and inflation compensation since March 28 have been revised since the update on July 19, 2022.

Q&A

  1. Are the data provided here the same as the data originally released with the Gurkaynak, Sack, and Wright (2008) paper?

    No. The current vintage data are generally pretty close to the original GSW (2008) data, but they are not identical, as the input data source has changed and small modifications have been made over time in the way these models are implemented. Further modifications could be made in the future, so the future vintage data could also differ a bit from the current vintage data.

  2. How often are the data updated?

    We generally try to post the updated series once per week; typically, updated series data will be posted on Tuesday for the period up to the Friday of the previous week.

  3. Is this model an official Board statistical release?

    No, this model is a staff research product and not an official statistical release. Accordingly, it is subject to delay, revision, or methodological changes without advance notice.

    Model disclaimer

1. For details on the methodology and data, see Refet S. Gürkaynak, Brian Sack, and Jonathan H. Wright (2008), "The TIPS Yield Curve and Inflation Compensation," Finance and Economics Discussion Series 2008-05 (Washington: Board of Governors of the Federal Reserve System, November 12, 2007), also published as Refet S. Gürkaynak, Brian Sack, and Jonathan H. Wright (2010), American Economic Journal: Macroeconomics, vol 2, pp70-92. Return to text

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Last Update: July 29, 2022