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]
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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They already give you the yields so you don’t need any currency adjustment (me mentioning hedging to USD was a bit of a red herring!)
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True, but if the goal is to evaluate periods with significantly negative real rates you need a dataset that goes back to the 1930s. So by default you are left with nominal rates (source NBER) and CPI (FRED). Although I'm assuming that was the goal, not sure.pic.twitter.com/XG0uZgZ3ki
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Yup that was the goal! Unfortunately my total stock market wilshire index data from FRED only went back to 1970, maybe NBER has longer data sets for that
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