Abstract
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) inflation tail risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes. We document that, not only the extent, but also the asymmetry of inflation/deflation risks evolve over time. Moreover, changes in inflation risk, help predict future inflation realizations. In particular, we show that adding our survey based measures of inflation risk to either the random walk model, or usual survey based mean point forecasts, improves their predictive performance.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
