This study incorporates data from numerous sources. Yields are monthly averages from daily values. Surveys of inflation expectations are for the most part conducted on a quarterly basis. In this case they are resampled to a monthly frequency with linear interpolation.
EZ: SPF (HICP average) IE's and yields from European Central Bank
US: SPF (PCE average) IE's from Philly Fed, household (CPI median) IE's from New York Fed, yields from Federal Reserve Board
Japan: Tankan survey (CPI average) IE's from Bank of Japan and yields from Ministry of Finance
UK: Household inflation attitude survey (CPI median) IE's and yields from Bank of England
Australia: Equally weighted union officials and market economists survey (CPI median) IE's and yields from Reserve Bank of Australia
Switzerland: Company representatives survey (CPI average) IE's and yields from Swiss National Bank
Sweden: Broad survey (CPI average) IE's from Kantar Sifo Prospera, yields from Riksbank