To a certain extent, yes – it’s in terms of levels. In terms of the pace of change, no.
figure 1: TIPS 10-year (bold black), Treasury 10-year minus 10-year expected inflation in Survey of Professional Forecasters (blue+), minus Cleveland Fed expected inflation (tan), minus KWW Expected inflation (light blue), all expressed as a percentage. NBER-defined recession peak-to-trough dates are in gray. Source: Treasury via FRED, Philadelphia Fed, Federal Reserve Bank of Cleveland, Kevin Calculations from the Federal Reserve, National Bureau of Economic Research, and authors.
However, in terms of year-on-year changes, the increase in real interest rates as of November 2022 is unprecedented. For a 24-month change, it is currently unprecedented (during this sample period).
figure 2: TIPS 10-year 12-month change (bold black), Treasury 10-year minus 10-year expected inflation in the Survey of Professional Forecasters (blue+), minus Cleveland Fed expected inflation ( tan), minus KWW expected inflation (light blue), all in %. NBER-defined recession peak-to-trough dates are in gray. Source: Treasury via FRED, Philadelphia Fed, Federal Reserve Bank of Cleveland, Kevin Calculations from the Federal Reserve, National Bureau of Economic Research, and authors.
While the 12-month change in 10-year Treasury yields has slowed to around 2.3-3% from a peak of 0.9-2.4%, the 24-month annualized change is as high as 1.5% (TIPS).
