G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17224
DP17224 How likely is an inflation disaster?
Jens Hilscher; Alon Raviv
发表日期2022-04-15
出版年2022
语种英语
摘要The prices of long-dated inflation swap contracts provide a much-used estimate of expected inflation at far horizons. This paper develops the methods to estimate complementary tail probabilities for persistently very high or very low inflation using the prices of inflation options. For the object of interest—inflation disasters at long horizons—we show that three adjustments to conventional measures are crucial: for real payoffs, risk, and horizon. Applying the method to the United States (US) and the Eurozone (EZ) we find that (i) the probability of US deflation in 2011-14 was not very high, (ii) the tail probability of a deflation trap in the EZ post 2015 has been high throughout in spite of varying policies meant to address this issue, as well as shocks, and (iii) there was a significant steady rise in 2021 in the risk of persistent high US inflation, and a sharp rise in 2022 in the EZ.
主题Financial Economics ; Monetary Economics and Fluctuations
关键词Option prices Inflation derivatives Arrow-debreu securities
URLhttps://cepr.org/publications/dp17224
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/546225
推荐引用方式
GB/T 7714
Jens Hilscher,Alon Raviv. DP17224 How likely is an inflation disaster?. 2022.
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