{"title":"Inflation at risk","authors":"","doi":"10.1016/j.jmoneco.2024.103570","DOIUrl":null,"url":null,"abstract":"<div><p>Inflation at risk (<em>IaR</em>) refers to the tails of the distribution of inflation over a forecast horizon. We study <em>IaR</em> using quantile regressions in a panel of OECD countries for a sample that includes the Global Financial Crisis and the rise in inflation during the Covid-19 pandemic. First, we find that even though recently the conditional mean of inflation has been low and stable, there was ample variability in the tails. Second, financial conditions have a nonlinear effect on the predictive inflation distribution. Third, the role of economic drivers of <em>IaR</em> has changed over time. Our approach to measure tails complements others using financial market quotes and survey data.</p></div>","PeriodicalId":48407,"journal":{"name":"Journal of Monetary Economics","volume":"145 ","pages":"Article 103570"},"PeriodicalIF":4.3000,"publicationDate":"2024-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Monetary Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304393224000230","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Inflation at risk (IaR) refers to the tails of the distribution of inflation over a forecast horizon. We study IaR using quantile regressions in a panel of OECD countries for a sample that includes the Global Financial Crisis and the rise in inflation during the Covid-19 pandemic. First, we find that even though recently the conditional mean of inflation has been low and stable, there was ample variability in the tails. Second, financial conditions have a nonlinear effect on the predictive inflation distribution. Third, the role of economic drivers of IaR has changed over time. Our approach to measure tails complements others using financial market quotes and survey data.
期刊介绍：
The profession has witnessed over the past twenty years a remarkable expansion of research activities bearing on problems in the broader field of monetary economics. The strong interest in monetary analysis has been increasingly matched in recent years by the growing attention to the working and structure of financial institutions. The role of various institutional arrangements, the consequences of specific changes in banking structure and the welfare aspects of structural policies have attracted an increasing interest in the profession. There has also been a growing attention to the operation of credit markets and to various aspects in the behavior of rates of return on assets. The Journal of Monetary Economics provides a specialized forum for the publication of this research.
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