Real-world interest rate calibration: Constructing medium-term inflation forecasts
Document ID: 2010-1646
Published on: 13th January 2010
Author: Jared Golden and Steffen Sorensen
This note describes a change to our real rate calibration methodology with regard to the inclusion of medium-term inflation forecasts for economies where no index-linked bonds are available. From the end-December 2009 calibration onwards, in the absence of index-linked government bonds, five- and ten-year econometric inflation forecasts will be incorporated into the calibration in addition to the one-year forecasts that we have traditionally included in our calibrations.
