QUANDL and FRED real rates data only goes back to ~2003. Anyone aware of free sources for TIPS yields that go back further? Otherwise might have to try approximating real rates by doing 10yr yield - (%change in CPI) at a monthly freq [rather than daily]
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If you wanted to trade inflation before ~2000 or so you bought index linked gilts and hedged them to USD (Bridgewater did this for years). The Bank of England website has really yields going back to the early 90s I think, you could use that.
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I definitely would not use nominal yields adjusted by CPI since you would be adjusted a forward looking yield with a backward looking inflation measure.
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Interesting, thanks for the suggestion. Sounds like I could try using "UK instantaneous implied real forward curve (gilts)", not sure about how to account for different currency. Good pt about how, we should avoid comparing fwd looking metric w trailing metric to find realRate
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