Causes and effects of time-dependent inflation uncertainty - measurement, evidence, and policy implications

随时间变化的通货膨胀不确定性的原因和影响——测量、证据和政策影响

• 批准号: 157678884
• 负责人: Professor Dr. Helmut Herwartz
• 金额: --
• 依托单位: Lehrstuhl für Ökonometrie
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2009
• 资助国家: 德国
• 起止时间: 2008-12-31 至 2017-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/157678884?language=en
• 关键词: Causes; effects; time; dependent; inflation

The uncertainty regarding the future development of inflation is associated with high economic costs. In an uncertain inflation environment, long-term investment decisions are delayed or distorted in favor of real assets. Moreover, inflation uncertainty increases volatility of relative prices and masks structural price signals. The risks of nominal financial and wage contracts rise and may cause unanticipated redistributions of nominal assets.Based on the results of the first part of the project (e.g., measurement of inflation uncertainty, interplay between inflation uncertainty and inflation as well as growth, uncertainty indicators as explanatory factors for speculative bubbles), we now aim at investigating the origins and effects of inflation uncertainty in greater depth. A main goal is to analyze the extent to which inflation uncertainty affects relationships of, and interactions between, key economic variables identified in the literature. In particular, it seems likely that increased uncertainty systematically changes the transmission of shocks that occur in macroeconomics and financial markets.As in the first part of the project, we focus on three themes. Concerning the measurement of inflation uncertainty, a disaggregated approach will be employed to better understand how inflation uncertainty originates and how it spreads across product groups and countries. In addition, the relationship to broader indicators of macroeconomic uncertainty should be clarified. With respect to the interaction between inflation uncertainty and the macroeconomic environment, we focus on the role inflation uncertainty plays in the interplay of monetary policy, expectation formation, and the business cycle. We start from the well-documented state dependence of expectation formation, which suggests an effect of inflation uncertainty on inflation expectations. Especially in the light of the current developments in the euro area, we ask how monetary policy reacts to inflation uncertainty. Finally, we investigate the interaction between inflation uncertainty and financial markets concentrating on the influence inflation uncertainty has on the transmission mechanisms at financial markets. For example, it may affect the yield curve and the interest rate pass through from the central bank rate to loan and savings rates. Also, it is likely to spill over to other asset classes.As far as possible, we will study the research questions from an international comparative perspective. This will help to assess the sensitivity of the results with respect to country-specific circumstances and to compare different macroeconomic policies.

通货膨胀未来发展的不确定性与高昂的经济成本有关。在不确定的通货膨胀环境下，长期投资决策被推迟或扭曲，有利于真实的资产。此外，通货膨胀的不确定性增加了相对价格的波动，掩盖了结构性价格信号。名义财务和工资合同的风险上升，可能导致名义资产的意外再分配。根据项目第一部分的结果（例如，通货膨胀不确定性的测量，通货膨胀不确定性与通货膨胀和增长之间的相互作用，作为投机泡沫解释因素的不确定性指标），我们现在的目标是更深入地研究通货膨胀不确定性的根源和影响。一个主要目标是分析通货膨胀的不确定性在多大程度上影响了文献中确定的关键经济变量之间的关系和相互作用。特别是，不确定性的增加似乎会系统地改变宏观经济和金融市场中发生的冲击的传递。与本课题的第一部分一样，我们关注三个主题。关于通货膨胀不确定性的计量，将采用分类办法，以更好地了解通货膨胀不确定性如何产生以及如何在产品类别和国家之间蔓延。此外，应澄清与宏观经济不确定性的更广泛指标的关系。关于通货膨胀不确定性与宏观经济环境之间的相互作用，我们关注通货膨胀不确定性在货币政策、预期形成和商业周期相互作用中的作用。我们从有据可查的预期形成的状态依赖性开始，这表明通货膨胀的不确定性对通货膨胀预期的影响。特别是鉴于欧元区目前的发展，我们要问货币政策如何应对通胀的不确定性。最后，我们研究了通货膨胀不确定性与金融市场之间的相互作用，重点研究了通货膨胀不确定性对金融市场传导机制的影响。例如，它可能会影响收益率曲线和从中央银行利率到贷款和储蓄利率的利率传递。我们将尽可能从国际比较的角度来研究研究问题。这将有助于评估结果对具体国情的敏感性，并比较不同的宏观经济政策。