Risk-neutral distributions for inflation and their uses

通货膨胀是一种重要的宏观经济现象。 个人、企业和政府不仅关心当前的通货膨胀率，还关心未来可能的通货膨胀水平。 PI团队将使用一种创新的方法来衡量对未来可能通胀率的预期。 他们将根据期权合约的每日数据来构建这一指标，这些期权合约是关于已实现的未来通胀水平的;这些期权现在被广泛出售。 新的衡量标准将基于2009年至2013年之间的期权销售，未来的视野从销售日期前1年到10年，并将包括美国，英国，欧元区和日本未来通货膨胀的整体分布的措施。 PI将使用这些数据回答三个不同的问题。 第一，如何衡量中央银行的财政能力？第二：对未来通胀水平的预期是否得到了很好的锚定？（3）通货膨胀对经济社会总福利的影响有多大？PI将使用这些数据来构建不同范围和地区的月度风险调整通胀分布。 这些是基于市场的对未来通胀整体分布的预测。 因为有N年的平均通货膨胀数据和这N年中每一年的年通货膨胀数据，这些数据也包括通货膨胀动态的信息。衡量中央银行的财政能力需要计算银行资产的市场价值以及铸币税收入的现值。 该项目将估计这些价值对更高通货膨胀的敏感性。 该小组还将把他们的措施与基于调查的对未来通胀预期的措施进行比较。 因为他们将能够衡量私人代理人似乎愿意支付多少钱来消除所有通货膨胀风险，该措施还将使该团队开发一种新的方法来衡量通货膨胀的福利成本。

Inflation is an important macroeconomic phenomenon. Individuals, firms, and governments are concerned not just about the current inflation rate but also about future possible inflation levels. The PI team will use an innovative method to measure expectations about the future possible inflation rate. They will construct this measure from daily data on option contracts on the realized future inflation level; these options are now widely sold. The new measure will be created based on option sales between 2009 and 2013, with future horizons from 1 to 10 years ahead of the sales date, and will include measures for the entire distribution of future inflation in the US, the United Kingdom, the Euro area, and Japan. The PIs will then use these data to answer three different questions. First: How do we measure the fiscal capacity of a central bank? Second: Are expectations about future inflation levels well anchored? And (3) how large are the costs of inflation to total economic social welfare? The PIs will use the data to construct monthly risk-adjusted inflation distributions for the different horizons and areas. These are market-based forecasts of the entire distribution of future inflation. Because there are data both for average inflation over N years and for annual inflation for each of these N years, the data also include information on inflation dynamics. Measuring the fiscal capacity of a central bank requires calculating the market value of the bank's assets as well as calculating the present value of seigniorage revenues. The project will give estimates of the sensitivity of these values to higher inflation. The team will also compare their measures to survey-based measures of expectations about future inflation. Because they will be able to measure how much private agents appear to be willing to pay to remove all inflation risk, the measure will also let the team develop a new way to measure the welfare costs of inflation.