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INFLATION FORECASTS USING THE TIPS YIELD CURVE

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Figure 1: Nominal and TIPS yield curve of 2/12/2004
Figure 2: Breakeven inflation for securities maturing in 10 years
Table  1  -  RMSFE  of  month-on-month  inflation  benchmarks  of  autoregressive  methods  and  the No-change forecast for the evaluation period of February of 2002 and September of 2011
Table 2 - RMSFE of month on month inflation forecasts for the evaluation period between February of 2002 and September of 2011 produced using  the simple AR as benchmark and the DAAR  method  with the breakeven inflation series with a  maturity of 10  year
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