通货膨胀风险

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Monetary Economics Pub Date : 2024-07-01 DOI:10.1016/j.jmoneco.2024.103570

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引用次数: 0

摘要

风险通胀（）指的是预测范围内通胀分布的尾部。我们以经合组织国家为样本，对包括全球金融危机和 Covid-19 大流行期间通胀上升在内的样本进行了量化回归研究。首先，我们发现，尽管近期通货膨胀的条件均值较低且稳定，但尾部存在很大的变数。其次，金融条件对预测性通胀分布具有非线性影响。第三，经济驱动因素的作用随着时间的推移发生了变化。我们测量尾部的方法与其他使用金融市场报价和调查数据的方法相辅相成。

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Inflation at risk

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.

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来源期刊

Journal of Monetary Economics Multiple-

CiteScore

7.20

自引率

4.90%

发文量

审稿时长

74 days

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.