How likely is an inflation disaster?⇤
How likely is an inflation disaster?⇤
复制标题
通货膨胀灾难的可能性有多大？⇤
DOI：
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发表时间：
2022
期刊：
影响因子：
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通讯作者：
R. Reis
中科院分区：
文献类型：
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作者：
Jens Hilscher;Davis;A. Raviv;Bar;R. Reis
长期通货膨胀掉期合约的价格提供了一个经常使用的对远期预期通货膨胀的估计。本文利用通货膨胀期权的价格，研究了在通货膨胀率持续很高或很低的情况下，如何估计互补尾概率的方法。对于利率通胀灾难的对象，在长期的视野，我们表明，三个调整传统的措施是至关重要的：真实的回报，风险和地平线。将该方法应用于美国（US）和欧元区（EZ），我们发现：（i）2011-14年美国通缩的概率不是很高，（ii）2015年后欧元区通缩陷阱的尾部概率一直很高，尽管旨在解决这个问题的政策各不相同，以及冲击，及（iii）美国通胀持续高企的风险于二零二一年显著稳步上升，而经济区通胀于二零二二年大幅上升。JEL代码：E31、E44、G13。
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. JEL codes: E31, E44, G13.