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December 6, 2021 20:59
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library(tidyverse) | |
library(tidyquant) | |
library(timetk) | |
'T5YIE' %>% | |
tq_get(get= "economic.data", from = "2003-01-01") %>% | |
mutate(Percent = price/100) %>% | |
summarise_by_time( | |
.date_var = date, | |
.by = "month", | |
expected_five_year = mean(Percent, na.rm = T) | |
) %>% | |
left_join( | |
"CPIAUCSL" %>% | |
tq_get(get= "economic.data", from = "1998-01-01") %>% | |
select(date, cpi = price) %>% | |
mutate( | |
cpi_5_year_change = cpi/lag(cpi, 60) - 1, | |
cpi_five_year_avg = cpi_5_year_change/5 | |
) %>% | |
filter( date >= "2003-01-01") | |
) %>% | |
select(date, contains("five")) %>% | |
mutate( | |
actual_five_year = lead(cpi_five_year_avg, 60), | |
unexpected_five_year = actual_five_year - expected_five_year) %>% | |
drop_na() %>% | |
select(-contains("cpi")) %>% | |
pivot_longer(-date) %>% | |
mutate(name = str_replace(name, "_five_year", " inflation") %>% str_to_title()) %>% | |
ggplot(aes(x = date, y = value, color = name)) + | |
geom_line() + | |
scale_y_continuous(labels = percent, breaks = pretty_breaks(10)) + | |
scale_x_date(date_breaks = "2 year", | |
date_labels = "%Y") + | |
theme_minimal() + | |
labs(x = "", y = "", color = "", | |
title = "Actual, Expected and Unexpected Inflation: Next 5 Years", | |
caption = "Source: Fred data. Based on CPI and 5-Year Breakeven Rates") + | |
theme(legend.position = "top", | |
plot.title =element_text(hjust = .5)) |
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