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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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
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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Wow that's incredible. Great source. Thank you!
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