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

通货膨胀未来发展的不确定性与高昂的经济成本有关。在不确定的通胀环境中，长期投资决策被推迟或扭曲，倾向于实物资产。此外，通胀的不确定性增加了相对价格的波动性，掩盖了结构性价格信号。名义金融和工资合约的风险上升，并可能导致意想不到的名义资产再分配。基于项目第一部分的结果(例如，衡量通胀不确定性、通胀不确定性与通胀之间的相互作用以及增长、不确定性指标作为解释投机泡沫的因素)，我们现在的目标是更深入地调查通胀不确定性的来源和影响。一个主要目标是分析通胀不确定性对文献中确定的关键经济变量之间的关系和相互作用的影响程度。特别是，不确定性的增加似乎有可能系统性地改变宏观经济和金融市场中发生的冲击的传递。与项目的第一部分一样，我们专注于三个主题。关于通胀不确定性的衡量，将采用分类方法，以更好地了解通胀不确定性是如何产生的，以及它是如何在产品类别和国家之间传播的。此外，应澄清与宏观经济不确定性的更广泛指标之间的关系。关于通胀不确定性与宏观经济环境之间的相互作用，我们重点研究了通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。我们从有充分证据证明的预期形成的状态依赖关系入手，这表明通胀不确定性对通胀预期的影响。特别是考虑到欧元区目前的事态发展，我们问货币政策如何应对通胀的不确定性。最后，我们考察了通货膨胀不确定性与金融市场之间的相互作用，重点考察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，利率从中央银行利率传递到贷款和储蓄利率。我们会尽量从国际比较的角度研究研究问题。这将有助于评估结果对各国具体情况的敏感性，并比较不同的宏观经济政策。

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.