Published in Journal of Economic Business and Statistics, 2020, 38(3), 542-553. 
I use a statistical model to combine various surveys to produce a term structure of inflation expectations — inflation expectations at any horizon — and an associated term structure of real interest rates. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they are at par with or superior to some popular alternatives. The real interest rates obtained from the model follow TIPS rates as well.
First draft : August 2014
Federal Reserve Bank of Philadelphia is producing ATSIX (Aruoba Term Structure of Inflation Expectations) based on this paper.
Paper
Federal Reserve Bank of Minneapolis Staff Report [August 2014]
Federal Reserve Bank of Philadelphia Working Paper [March 2016]
Most Recent Working Paper [January 2018]
Published Version (requires subscription)
Press and Blog Mentions
Econ Browser [May 2016]
Additional Materials