Narratives and the Term Structure of Inflation Expectations

We examine how inflation language in FOMC statements and Chair press conferences maps into the breakeven inflation (BEI) term structure from two to ten years. Five indices capture stance, broad and current inflation language, and the Delphic/Odyssean decomposition. Conditional on the high-frequency rate surprise, statement language is associated with lower BEI at short-to-intermediate maturities, consistent with markets reading committee-vetted text through the policy reaction function. Press conferences differ: Delphic language loads positively on long-horizon forwards; Odyssean language compresses the short-to-intermediate segment. Intraday BEI moves positively with every press-conference index; no analogous statement-window effect survives partialling out the rate surprise.