scholarly journals Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates

2020 ◽  
pp. 1-5 ◽  
Author(s):  
Emmanuel Apergis ◽  
Nicholas Apergis
Keyword(s):  
Inflation Expectations ◽  
The Us ◽  
Swap Rates

Exploring the inflationary effect of oil price in the US

2019 ◽  
Vol 13 (1) ◽  
pp. 60-76 ◽  
Author(s):  
Amine Lahiani
Keyword(s):  
Growth Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Us ◽  
The Relationship

PurposeThe purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.Design/methodology/approachThe author uses the Bai and Perron (2003) structural break test to split the data sample into sub-periods delimited by the computed break dates. Afterwards, the author uses the quantile treatment effects over the full sample and then, by including sub-periods dummies to accommodate the selected structural breaks that drive the relationship between inflation and oil price growth.FindingsThe findings include a decreased transmission effect of oil price changes on inflation in recent years; a varied elasticity of inflation to the growth rate of oil prices across the distribution; and, finally, evidence of asymmetry in the relationship between the growth rate of oil prices and inflation, with a higher transmission mechanism for decreasing rather than increasing oil prices.Practical implicationsPolicymakers should remain alert to monitoring potential inflation increases and should take precautionary measures to anchor inflation expectations, because inflation reacts differently to positive and negative oil price shocks. Moreover, authorities should consider the asymmetric reaction of inflation to oil price shocks to adopt an appropriate monetary policy strategy to achieve the price stability target.Originality/valueThe paper used a quantile regression model with structural breaks, which has not yet been used in the literature.

scholarly journals Fiscal Foundations of Inflation: Imperfect Knowledge

2018 ◽  
Vol 108 (9) ◽  
pp. 2551-2589 ◽  
Author(s):  
Stefano Eusepi ◽  
Bruce Preston
Keyword(s):  
Monetary Policy ◽  
Public Debt ◽  
Wealth Effects ◽  
Inflation Expectations ◽  
Ricardian Equivalence ◽  
The Public ◽  
Us Economy ◽  
The Us ◽  
Imperfect Knowledge ◽  
Consumption Demand

This paper proposes a theory of the fiscal foundations of inflation based on imperfect knowledge and learning. Because imperfect knowledge breaks Ricardian equivalence, the scale and composition of the public debt matter for inflation. High and moderate duration debt generates wealth effects on consumption demand that impairs the intertemporal substitution channel of monetary policy: aggressive monetary policy is required to anchor inflation expectations. Counterfactual experiments conducted in an estimated model reveal that the US economy would have been substantially more volatile over the Great Inflation and Great Moderation periods if US debt levels had been those observed in Italy or Japan. (JEL D84, E31, E32, E52, E62, H63)

Assessing the (de-)anchoring of households’ long-term inflation expectations in the US

2020 ◽  
Vol 63 ◽  
pp. 103183 ◽  
Author(s):  
Pradyumna Dash ◽  
Abhishek Kumar Rohit ◽  
Adviti Devaguptapu
Keyword(s):  
Inflation Expectations ◽  
The Us

scholarly journals Bank performance variability and strands of inflationary conditions

2020 ◽  
Vol 29 (3) ◽  
pp. 235-253
Author(s):  
Rexford Abaidoo ◽  
Hod Anyigba
Keyword(s):  
Performance Indicators ◽  
Banking Sector ◽  
Key Performance Indicators ◽  
Bank Performance ◽  
Inflation Expectations ◽  
Content Type ◽  
Return On Equity ◽  
Macroeconomic Conditions ◽  
Macroeconomic Uncertainty ◽  
The Us

PurposeThis study seeks to examine the extent to which strands of inflationary related conditions (inflation expectations, inflation uncertainty and realized inflation); macroeconomic uncertainty and the likelihood of recessionary conditions influence performance indicators in the US banking sector over a specified time period.Design/methodology/approachThe study adopts seemingly unrelated regression model (SUR) advanced by Zellner (1962) in its examination of how specific strands of inflationary conditions, and other adverse macroeconomic conditions influence performance dynamics in the US banking sector.FindingsEmpirical evidence suggest that among various adverse macroeconomic conditions examined, inflation expectations and macroeconomic uncertainty tend to have significant constraining impact on key performance indicators in the US banking sector than other conditions examined. Comparatively, this study finds that inflation expectations and macroeconomic uncertainty tend to have much more constraining impact on return on equity, than on return on assets in the US banking sector. Results further suggest that among the three bank performance indicators examined, net interest margin is the least vulnerable bank performance indicator to various adverse macroeconomic conditions examined in the study.Practical implicationsApart from the various empirical results noted above, this study's findings are projected to help inform strategic planning decisions among institutions in the banking sector. The various findings could, for instance, inform policies and operational strategies geared toward reducing vulnerability associated with specific performance indicators such as return on equity. This reduction could be achieved by critically examining how the various performance indicators react to individual adverse macroeconomic conditions examined in this study. The process could ultimately help in developing tailored measures/procedures aimed at reducing how susceptible key performance indicators are to the various adverse macroeconomic conditions. This study's findings could also provide the platform for more adaptive policies aimed at minimizing the effects of noted macroeconomic conditions on operational efficiency in the banking sector.Originality/valueThe uniqueness of this study, compared to related ones found in the literature, stems from its treatment of three variant of related strands of macroeconomic condition (different variant of inflationary conditions) in the same framework in its empirical analysis.

scholarly journals The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements

2021 ◽  
Vol 111 (4) ◽  
pp. 1092-1125
Author(s):  
Diego R. Känzig
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Inflation Expectations ◽  
Frequency Data ◽  
Oil Supply ◽  
Us Economy ◽  
News Shock ◽  
The Us ◽  
Negative News ◽  
Macroeconomic Effects

This paper studies how changes in oil supply expectations affect the oil price and the macroeconomy. Using a novel identification design, exploiting institutional features of OPEC and high-frequency data, I identify an oil supply news shock. These shocks have statistically and economically significant effects. Negative news leads to an immediate increase in oil prices, a gradual fall in oil production, and an increase in inventories. This has consequences for the US economy: activity falls, prices and inflation expectations rise, and the dollar depreciates, providing evidence for a strong channel operating through supply expectations. (JEL E31, E32, F31, Q35, Q38, Q43)

The World Economy

2004 ◽  
Vol 189 ◽  
pp. 8-36
Keyword(s):  
Euro Area ◽  
Commodity Prices ◽  
Output Gap ◽  
Inflation Expectations ◽  
Global Recession ◽  
Percentage Points ◽  
The Us ◽  
To Come ◽  
The Uk ◽  
Output Gaps

Global inflationary pressures have been building over the last 12 months. These rising pressures reflect emergence from the global recession of 2001–2 and fiscal laxity in several of the world's largest economies, as well as a number of temporary factors such as rising commodity prices and indirect tax increases. Inflation expectations, as reflected by yield differences between indexed and ordinary government debt, have edged up in the US, the Euro Area and the UK, as illustrated in Chart 1. US and UK inflation expectations are about 0.8 percentage points higher than at the start of 2003, while Euro Area inflation expectations have risen by about 0.4 percentage points. Our inflation projections for the major economies are reported in Table 1. We forecast an acceleration of inflation in the US, Germany, France and the UK this year relative to 2003, and expect deflation in Japan to come to an end from the middle of 2004. Stronger inflationary pressures in the US partly reflect the positive output gap, while output gaps in Canada and the Euro Area are expected to remain negative until the end of 2005 and 2006, respectively. Our output gap estimates are illustrated in Chart 2.

Elections and the Economy: What to do about Recessions?

2016 ◽  
Vol 13 (1) ◽  
Author(s):  
Rand Ghayad ◽  
Michael Cragg ◽  
Frank Pinter
Keyword(s):  
Interest Rates ◽  
Inflation Expectations ◽  
Bond Markets ◽  
Text Analytics ◽  
Policy Positions ◽  
Presidential Candidates ◽  
Inflation Rates ◽  
The Us ◽  
Federal Debt ◽  
Future Growth

AbstractThere is no doubt that the US is embedded in a weak economy. Bond markets are now saying that neither inflation rates approaching 2 percent targets or real interest rates substantially above zero are on the horizon anytime in the foreseeable future. Growth forecasts are being revised downwards in most places, and there is growing evidence in the US that inflation expectations are becoming unanchored to the downside. That, along with widening credit spreads and a stronger dollar as Europe and Japan plunge more deeply into the world of negative rates is alarming and suggests that we are at risk of another recession. Presidential candidates on both sides of the aisle have laid out their positions on major issues ranging from taxes, minimum wage, the federal debt, to issues such as immigration, military strategy, and climate change. While candidates’ policy positions differ generally, it is not clear what their priorities are when it comes to most of these issues. In this paper, we apply text analytics to analyze hundreds of thousands of words that appeared in policy releases, interviews, or debate transcripts related to all of the 2016 presidential candidates. Among other things, we find that macroeconomic policy or “what to do about recessions” has been largely ignored by presidential candidates in this year’s election. Perhaps not surprisingly, Donald Trump’s positions are focused on Mexico and China while Hillary Clinton’s positions are heavily focused on gender and social factors. This appears to present a contrast from Bill Clinton’s campaign in the early 1990s, which was focused on America’s declining economy, emphasizing a basic but effective slogan, “It’s the Economy, Stupid!”

REAL-TIME MONITORING OF THE US INFLATION EXPECTATION PROCESS

2018 ◽  
Vol 23 (06) ◽  
pp. 2221-2249
Author(s):  
Vasyl Golosnoy ◽  
Jan Roestel
Keyword(s):  
Real Time ◽  
Inflation Expectations ◽  
Policy Makers ◽  
Inflation Expectation ◽  
Long Run ◽  
Inflation Rates ◽  
The Us ◽  
On Line ◽  
Econometric Methodology ◽  
Potential Shifts

Real-time supervision of shifts in inflation expectations is an important issue for monetary policy makers, especially in the presence of economic uncertainty. In this paper, we elaborate tools for on-line monitoring of such shifts by extracting valuable information from noisy daily financial market data. For this purpose, first, we suggest a new risk adjustment for observable proxies of medium and long run inflation expectations assuming that the latter are well-anchored. Second, we propose an econometric methodology for sequential monitoring of level changes in the associated proxies at daily frequency. Our empirical evidence shows that the on-line surveillance of risk adjusted US forward breakeven inflation rates by means of the cumulative sum (CUSUM) detector appears to be helpful to extract timely signals on potential shifts. In particular, the obtained signals indicate important turning points in market-based measures of inflation expectations, which also tend to materialize in lower frequency experts' surveys.

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