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Quantitative Finance · Begrippenlijst

Wat is Indexation lag, inflation seasonality?

Ook bekend als: indexation lag · inflation seasonality

Definition 11.9 Markets II: Rates, FX and Credit · Hoofdstuk 11 — Inflation Markets

The indexation lag of a linker is the delay between the month whose prices set its reference index and the month in which that reference applies: three months for TIPS and for most bonds issued since the 2000s. Inflation seasonality is the recurring pattern of a non-seasonally-adjusted price index within the calendar year, from the timing of sales, energy use and annual price resets.

Growth of the TIPS reference index over each calendar month, January 2021 to December 2023: the monthly change in the non-seasonally-adjusted index of three and two months earlier. Data: FRED series CPIAUCNS, the chapter’s tutorial.
Figure 11.3. Growth of the TIPS reference index over each calendar month, January 2021 to December 2023: the monthly change in the non-seasonally-adjusted index of three and two months earlier. Data: FRED series CPIAUCNS, the chapter’s tutorial.
Seasonality of the US consumer price index, not seasonally adjusted: the average change of each month’s index over the previous month, minus the average monthly change of its year, 2010 to 2024 (2025 lacks its October index), in percentage points. March is the strongest month, November and December the weakest. Data: FRED series CPIAUCNS, the chapter’s tutorial.
Figure 11.4. Seasonality of the US consumer price index, not seasonally adjusted: the average change of each month’s index over the previous month, minus the average monthly change of its year, 2010 to 2024 (2025 lacks its October index), in percentage points. March is the strongest month, November and December the weakest. Data: FRED series CPIAUCNS, the chapter’s tutorial.
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