Are US ination expectations anchored, contained or unmoored?

This paper uses daily observations on implied in‡ation expectations (di¤erence between nominal and real yields) derived from the US nominal and real Treasury securities to examine the properties of investors expectations for US CPI in‡ation. We assess whether in‡ation expectations are anchored, contained or unmoored. These concepts are often used in central bank communication and their presence is often viewed as essential for e¤ective monetary policy. Anchored in‡ation expectations are modeled by assuming the underlying in‡ation process driving expectations is quickly attracted to its long-run average. To model contained in‡ation expectations, we develop the implications of an underlying nonlinear in‡ation process that is quickly We thank Samuel Maurer for excellent research assistance. Arturo Estrella and Meg McConnell provided useful insights and observations on the theme of this paper. The views expressed in this paper are those of the authors and do not necessarily re‡ect the views of the Federal Reserve Bank of New York or the Federal Reserve System.