YIELD CURVE FORECASTS
Values on this page reflect the real Treasury yield curve (or equivalently, the TIPS Treasury curve). The real curve is equal to i.e. the nominal Treasury yield curve minus a curve of investors' annualized inflation expectations.
Changes in real yields reflect changes in nominal Treasury yields or changes in inflation expectations. For example, a rise in the 20-year real yield can be due to either a rise in the 20-year standard Treasury bond yield, or a decline in investors' expected inflation for the subsequent 20 years.
Since the Treasury yield is generally considered risk-free, the real Treasury yield can also be interpreted as the minimum risk-free real rate of return. For example, if the 1-year real yield is 1%, all alternative investments with a 1-year return horizon should return at least 1% or more on an inflation-adjusted basis to perform as well as the "riskless" return.
The market consensus forecast is a forecast calibrated to represent the median expectation of market participants. It is calculated as the simple difference between two component forecasts:
- A nominal yield forecast (calculated from futures prices, Treasury yields, and survey data)
- An expected inflation forecast (calculated from TIPS-Treasury spreads, CPI data, and zero-coupon inflation swaps)
The model is updated daily between 9:30-10:00 ET (13:30/14:30 UTC).
Historical data on this page represents monthly means of daily values. Historical data for 5, 10, and 30-year yields are directly taken from TIPS markets. Historical yields for other maturities are interpolated by using a curve smoother on TIPS yields.
Note that historical data does not represent actual (realized) inflation. For example, the historical value for the 10-year real yield in Dec. 2022 does not take into the account the 10-year forward inflation from 2022, but instead the actual expected 10-year forward inflation at Dec. 2022.