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Sharp Fall In NY Fed Consumer Inflation Expectations

US
  • The 3Y ahead measure of consumer inflation expectations in the latest NY Fed survey fell from 3.6% to 3.2% in July and is down from a most recent peak of 3.9% in April/May.
  • It starts to more broadly capture the trend seen in 5Y breakeven, which is down considerably from highs and within ~15bps of pre-taper levels.
  • The NY Fed survey follows a more subdued rolling over in the longer-term U.Mich 5-10Y measure, which after various revisions has dipped to 2.9% after plateauing at 3.0-3.1% (and has a keenly awaited August preliminary print on Friday after Wednesday’s US CPI).
  • This longer-term measure better tracks movements in 5Y5Y market measures – per charts below.

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