Long-run expectations should stay near 2% no matter what realized CPI does. When they start moving WITH CPI, the anchor is dragging.
BEHAVING z = 0.67 ROBUST as of 2026-05-01
toward the strained side — above ~73% of its history
The dysfunction statistic, full history
Above the dashed zero line is the economically wrong direction — the
relationship failing to do its stabilizing job.
The two series it watches
CPI_YOY
1948
high 14.59 · low -2.87 · now 3.95 · 12 recessions shaded 2026
T5YIFR
2003
high 2.90 · low 0.43 · now 2.24 · 2 recessions shaded 2026
How it is scored
Correlation today (r)
0.2592
z vs. its own history
0.67 on the Fisher-transformed (arctanh) correlation — effective N ≈ 15.1 independent windows (from 256 overlapping readings)
Rule, pre-committed
z < 1 BEHAVING · 1 ≤ z < 2 STRAINED · z ≥ 2 with the wrong economic sign, held 3 consecutive readings, DECOUPLED.
Confidence
ROBUST — Rolling 24-month correlation of monthly changes in the 5y5y breakeven with changes in published CPI — co-movement measured directly. Reconstructed 2026-06-06; see the Methodology changelog.