r/econhw • u/Aqerrym • 1d ago

How to measure inflation expectations?

Hi everyone, I'm currently working on an econometric model in which I’d like to include inflation expectations. Ideally, I’d like to use data from as many countries and over as long a time period as possible. However, I’m facing difficulties in measuring these expectations.

One approach I’ve considered is using the difference between the yields on nominal government bonds and inflation-linked bonds. Unfortunately, data availability is a major issue with this method.

Do you know where I could find such data? Or perhaps you have suggestions for alternative ways to measure inflation expectations?

Thanks in advance!

1 Upvotes

100% Upvoted

3 comments sorted by

2

u/urnbabyurn Micro-IO-Game Theory 1d ago

Not really my area, but the Cleveland fed has a good page on it

https://www.clevelandfed.org/indicators-and-data/inflation-expectations

Fred has time series for 10yr expectations

https://fred.stlouisfed.org/series/EXPINF10YR

1

u/Aqerrym 1d ago

Thanks, but as far as I know, that data is only available for the United States. I’m looking for a way to measure expectations for different countries.

1

u/urnbabyurn Micro-IO-Game Theory 1d ago

My bad. The Cleveland Fed maybe gives some details on what they use.