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Estimated Index of Common Inflation Expectations (projected onto SPF 10-year-ahead PCE inflation expectations)
Percent
Make Full Screen| Date | CIE index, projected onto SPF, 10−year PCE inflation |
|---|---|
| 1/1/1999 | 2.0354 |
| 4/1/1999 | 2.0643 |
| 7/1/1999 | 2.0922 |
| 10/1/1999 | 2.0987 |
| 1/1/2000 | 2.0837 |
| 4/1/2000 | 2.0671 |
| 7/1/2000 | 2.0591 |
| 10/1/2000 | 2.0673 |
| 1/1/2001 | 2.0779 |
| 4/1/2001 | 2.0886 |
| 7/1/2001 | 2.0828 |
| 10/1/2001 | 2.0819 |
| 1/1/2002 | 2.0907 |
| 4/1/2002 | 2.1013 |
| 7/1/2002 | 2.1027 |
| 10/1/2002 | 2.0987 |
| 1/1/2003 | 2.0938 |
| 4/1/2003 | 2.0908 |
| 7/1/2003 | 2.1071 |
| 10/1/2003 | 2.1274 |
| 1/1/2004 | 2.1396 |
| 4/1/2004 | 2.1422 |
| 7/1/2004 | 2.1335 |
| 10/1/2004 | 2.1240 |
| 1/1/2005 | 2.1171 |
| 4/1/2005 | 2.1134 |
| 7/1/2005 | 2.1114 |
| 10/1/2005 | 2.1152 |
| 1/1/2006 | 2.1178 |
| 4/1/2006 | 2.1242 |
| 7/1/2006 | 2.1198 |
| 10/1/2006 | 2.1064 |
| 1/1/2007 | 2.0911 |
| 4/1/2007 | 2.0895 |
| 7/1/2007 | 2.0945 |
| 10/1/2007 | 2.1074 |
| 1/1/2008 | 2.1283 |
| 4/1/2008 | 2.1364 |
| 7/1/2008 | 2.1158 |
| 10/1/2008 | 2.0831 |
| 1/1/2009 | 2.0749 |
| 4/1/2009 | 2.0989 |
| 7/1/2009 | 2.1240 |
| 10/1/2009 | 2.1269 |
| 1/1/2010 | 2.1180 |
| 4/1/2010 | 2.1027 |
| 7/1/2010 | 2.0952 |
| 10/1/2010 | 2.1090 |
| 1/1/2011 | 2.1287 |
| 4/1/2011 | 2.1338 |
| 7/1/2011 | 2.1176 |
| 10/1/2011 | 2.0978 |
| 1/1/2012 | 2.0968 |
| 4/1/2012 | 2.1009 |
| 7/1/2012 | 2.1022 |
| 10/1/2012 | 2.1024 |
| 1/1/2013 | 2.1012 |
| 4/1/2013 | 2.0918 |
| 7/1/2013 | 2.0837 |
| 10/1/2013 | 2.0815 |
| 1/1/2014 | 2.0820 |
| 4/1/2014 | 2.0711 |
| 7/1/2014 | 2.0503 |
| 10/1/2014 | 2.0247 |
| 1/1/2015 | 2.0105 |
| 4/1/2015 | 2.0087 |
| 7/1/2015 | 2.0063 |
| 10/1/2015 | 1.9896 |
| 1/1/2016 | 1.9708 |
| 4/1/2016 | 1.9616 |
| 7/1/2016 | 1.9655 |
| 10/1/2016 | 1.9827 |
| 1/1/2017 | 1.9951 |
| 4/1/2017 | 1.9929 |
| 7/1/2017 | 1.9870 |
| 10/1/2017 | 1.9886 |
| 1/1/2018 | 2.0001 |
| 4/1/2018 | 2.0062 |
| 7/1/2018 | 2.0011 |
| 10/1/2018 | 1.9904 |
| 1/1/2019 | 1.9825 |
| 4/1/2019 | 1.9771 |
| 7/1/2019 | 1.9705 |
| 10/1/2019 | 1.9653 |
| 1/1/2020 | 1.9697 |
Note: The shaded area denotes a 95% confidence interval. The horizontal dotted line is marked at 2%. SPF is Survey of Professional Forecasters; PCE is personal consumption expenditures; CIE is common inflation expectations.
Source: Ahn and Fulton (2020).
Stochastic Simulation Result of FRB/US Model under Model-Consistent Expectations
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| ELB frequency (percent) | Mean duration of ELB (quarters) | Mean output gap | Mean inflation rate | RMSD of output gap | RMSD of inflation rate | Loss | |
|---|---|---|---|---|---|---|---|
| 1. Taylor | 38.3 | 10.9 | -1.1 | 1.2 | 3.5 | 2.2 | 17.2 |
| 2. Taylor (inertial) | 33.6 | 20.7 | -1.4 | 1.0 | 3.9 | 2.4 | 20.7 |
| 3. Flexible price-level target | 32.6 | 8.5 | -.4 | 2.0 | 3.6 | 1.5 | 15.2 |
| 4. Flexible price-level target (inertial) | 24.6 | 13.8 | -.6 | 2.0 | 4.4 | 1.5 | 21.8 |
| 5. Flexible temporary price-level target | 17.6 | 12.9 | .3 | 2.4 | 3.4 | 1.6 | 14.5 |
| 6. Temporary price-level target | 16.3 | 12.5 | .0 | 2.3 | 3.1 | 1.7 | 12.6 |
| 7. Temporary price-level target (3-yr. memory) | 15.6 | 11.2 | .3 | 2.4 | 2.7 | 1.6 | 9.6 |
| 8. Temporary price-level target (1-yr. memory) | 15.1 | 9.4 | .2 | 2.3 | 2.5 | 1.5 | 8.5 |
| 9. Reifschneider-Williams | 28.1 | 10.1 | .2 | 2.1 | 2.4 | 1.6 | 8.0 |
| 10. Kiley-Roberts change rule | 37.0 | 16.9 | -.1 | 2.1 | 1.9 | 1.4 | 5.7 |
Note: Results based on 500 simulations of 100 quarters each. Loss=1N1KΣKj=1ΣNt=1[(πt,j−π∗)2+ˆγ2t,j] for t, j period-simulations. FRB/US is the Federal Reserve’s principal simulation model; ELB is effective lower bound; RMSD is root mean square deviation.
Source: Bernanke, Kiley, and Roberts (2019).
Last Update:
January 13, 2021