Board of Governors of the Federal Reserve System

March 05, 2021

Research Data Series: Index of Common Inflation Expectations

Hie Joo Ahn and Chad Fulton

In an earlier FEDS Note, "Index of Common Inflation Expectations," we introduced the Index of Common Inflation Expectations, or "CIE", which summarizes the comovement of a wide variety of inflation expectations measures based on a dynamic factor model.

At least on an experimental basis, we plan to publish the CIE as a research data series on a quarterly basis. The March 5, 2021 update contains estimates of the CIE through 2020Q4. Further updates will be posted at noon Eastern Time on the third Friday of the first month of each quarter (January, April, July, and October). However, if this date falls on the Friday just prior to an FOMC meeting, then the update will instead be posted on the first Friday following the FOMC meeting. These updates will include initial estimates for the quarter that just ended, as well as any revisions to estimates for previous quarters.

To access the latest data on the CIE and the definitions of these data, use the following links: CIE data file (CSV) and CIE data definition file (TXT) (Updated: October 18, 2024).

Please refer to the earlier FEDS Note for details on the data and methodology.

Update: 4/15/2022

Keeping with the spirit of the CIE being a research project, in the April 15, 2022 update of the CIE estimates we are introducing an updated version of the CIE index. This updated index has been modified slightly to include additional relevant data and refresh a few technical details of the model, based on updated diagnostic test results, with the continued goal of comprehensively capturing common movements in relevant inflation expectations.

Specifically, the updated index includes the following changes:

• Adds the 1-year-ahead and 3-year-ahead measures from the Federal Reserve Bank of New York’s Survey of Consumer Expectations to the dataset used to compute the CIE. This survey, which adds a new dimension of data on consumer expectations, only began in 2013, and was not included in the original CIE index due to its short sample size.
• Adds the 25th and 75th percentiles of inflation expectations over the next 12 months from the University of Michigan Survey of Consumer expectations. These measures capture additional data related to the shape of the distribution of inflation expectations.
• Removes the measure of breakeven inflation over the next 5 years derived from TIPS, since the information in this measure is effectively redundant, given the other included TIPS measures
• Redefines the Livingston Survey 1-year-ahead measure to correspond to the rate of growth over the period from the month in which the survey was conducted to the month that is 12 months beyond the survey date (this measure is referred to in the Livingston Survey documentation as “G_ZM_To_12M”).
• We now assume that the dynamics of the latent factor are characterized by an autoregressive process of order 5.

The data file associated with the April 15, 2022 release now contains the following columns:

• CIE_spf - The original Index of Common Inflation Expectations (CIE), projected onto SPF, 10-year PCE inflation
• CIE_mich – The original Alternative index, projected onto Michigan, next 5-10 years
• updated_CIE_spf – The updated Index of Common Inflation Expectations (CIE), projected onto SPF, 10-year PCE inflation
• updated_CIE_mich – The updated Alternative index, projected onto Michigan, next 5-10 years

We will phase out the original CIE over the next two updates. Thus, in the July 2022 update we will replace the “CIE_spf” and “CIE_mich” columns with the updated estimates and provide the last update of the original CIE measures with new names. The data file will contain the following columns

• CIE_spf - The updated Index of Common Inflation Expectations (CIE), projected onto SPF, 10-year PCE inflation
• CIE_mich – The updated Alternative index, projected onto Michigan, next 5-10 years
• original_CIE_spf - The original Index of Common Inflation Expectations (CIE), projected onto SPF, 10-year PCE inflation
• original_CIE_mich – The original Alternative index, projected onto Michigan, next 5-10 years

Finally, the October 2022 update will only include the following two columns:

• CIE_spf - The updated Index of Common Inflation Expectations (CIE), projected onto SPF, 10-year PCE inflation
• CIE_mich – The updated Alternative index, projected onto Michigan, next 5-10 years

As an experimental research series, the CIE may be discontinued at any time. Accordingly, it should be used for informational purposes only. The Board of Governors of the Federal Reserve System and its staff will not be liable for any damages arising out of, or in connection with, the use of CIE or the inability to use the CIE.