| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19238 |
| 来源ID | Working Paper 19238 |
| Deflation Risk | |
| Matthias Fleckenstein; Francis A. Longstaff; Hanno Lustig | |
| 发表日期 | 2013-07-18 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of inflation swaps and options. We find that the market expects inflation to average about 2.5 percent over the next 30 years. Despite this, the market places substantial probability weight on deflation scenarios in which prices decline by more than 10 to 20 percent over extended horizons. We find that the market prices the economic tail risk of de- flation very similarly to other types of tail risks such as catastrophic insurance losses. In contrast, inflation tail risk has only a relatively small premium. De- flation risk is also significantly linked to measures of financial tail risk such as swap spreads, corporate credit spreads, and the pricing of super senior tranches. These results indicate that systemic financial risk and deflation risk are closely related. |
| 主题 | Macroeconomics ; Business Cycles ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w19238 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576912 |
| 推荐引用方式 GB/T 7714 | Matthias Fleckenstein,Francis A. Longstaff,Hanno Lustig. Deflation Risk. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
