Inflation

Study of the Impact of Inflation and GDP Growth on Property-Liability and Life Insurance premiums over the last 30 Years: Case of the G7 Countries.
We analyze the fluctuations in underwriting for the life and property-liability insurance segments, looking for the macro-economic…
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L’inflation, un « Black Swan » sur nos radars ?
Alors qu’on s’était habitué à ne plus distinguer le “nominal” du “réel”, l’inflation semble faire son retour…
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Effects of Monetary Policy on Inflation

The Comeback of Inflation as an Optimal Public Finance Tool

Economy - Finance > Inflation
01/2015
We challenge the widely held belief that New Keynesian models cannot predict optimal positive inflation rates. In…
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Using a nonparametric method to characterize Markovian operators, we describe the evolution of the short-run inflation processes…
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The Impact of Monetary Policy Shocks on Commodity Prices

Economy - Finance > Inflation
08/2010
Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates…
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Inflation and Inflation Uncertainty in the Euro Area

Economy - Finance > Inflation
07/2010
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro…
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With the use of nontraditional policy tools, the level of reserve balances has risen significantly in the…
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Monetary Policy, Housing Booms and Financial (Im)balances

Economy - Finance > Inflation
04/2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze…
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This paper documents the evolution of long-run inflation expectations and models the stance of monetary policy from…
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Monetary Policy and the Housing Bubble

Economy - Finance > Inflation
12/2009
Residential investment in the United States averaged about 4½ percent of nominal gross domestic product (GDP) from…
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Can Domestic Policies Influence Inflation?

Economy - Finance > Inflation
11/2007
Does globalization reduce the level of inflation? Does it change inflation dynamics? The theoretical and empirical answers…
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Monetary Policy and Inflation Dynamics

Economy - Finance > Inflation
10/2004
Since the early 1980s, the United States economy has changed in some important ways: Inflation now rises…
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Asset Price Inflation and Monetary Policy

Economy - Finance > Inflation
03/2003
It is crucial that central banks and regulatory authorities be aware of effects of asset price inflation…
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Determinants and Channels of Inflation

Inflation mechanisms, expectations and monetary policy

Economy - Finance > Inflation
11/2016
Inflation has been off-target for some time in many economies, both advanced and emerging. Whereas advanced economies…
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Inflation Dynamics in the Post-Crisis Period

Economy - Finance > Inflation
05/2015
Inflation rates in advanced economies experienced two unusual patterns during the period following the global financial crisis—relatively…
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It is generally assumed that the two Fisher components of the interest rate -the real interest and…
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In this paper we analyse the effects of informal labour markets on the dynamics of inflation and on…
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Temporarily Unstable Government Debt and Inflation

Economy - Finance > Inflation
02/2011
  
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This paper examines the inflation "pass-through" problem in American monetary policy, defined as the relationship between changes…
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This paper studies inflation dynamics during 25 historical episodes in advanced economies where output remained well below…
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This study analyses the impact of economic catching-up on annual inflation rates in the European Union with…
Inflation followed a strikingly uniform pattern in all countries of the Middle East, North Africa, and Central…
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This paper documents the evolution of long-run inflation expectations and models the stance of monetary policy from…
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This paper analyses the determinants of inflation differentials and price levels across the euro area countries. Dynamic…
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In this paper we analyse in a mark-up framework the pass-through of commodity price and exchange rate…
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This paper empirically assesses which factors trigger prolonged periods of inflation for a sample of 91 countries…
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Memories of high Inflation

Economy - Finance > Inflation
09/2009
Inflation has been well contained over the last decades in most industrialized countries. This implies, however, that…
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Forces Driving Inflation in the New EU10 Members

Economy - Finance > Inflation
03/2009
The paper analyzes the forces driving inflation in the new EU10 member countries. A significant part of…
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The Inflation-Unemployment Trade-off at Low Inflation

Economy - Finance > Inflation
03/2009
Wage setters take into account the future consequences of their current wage choices in the presence of downward…
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We examine the global dimension of inflation i n 24 OECD countries between 1980 and 2007 in…
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Cochrane (2007) has strongly questioned the basic economic logic of current mainstream monetary policy analysis, arguing that…
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Increases in German core inflation following the 2007 VAT hike were smaller than expected, leading to speculation…
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Recent Inflationary Trends in World Commodities Markets

Economy - Finance > Inflation
05/2008
Expansionary monetary policies in key industrial countries and sharply depreciating U.S. dollar exchange rate sent commodities prices…
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This paper analyzes the potential effect of global market competition on inflation dynamics. It does so through…
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In this paper, the IMF’s new Global Economy Model (GEM) is used to estimate the relative importance…
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Inflation Implications of Rising Government Debt

Economy - Finance > Inflation
10/2006
The intertemporal budget constraint of the government implies a relationship between a ratio of current liabilities to…
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Inflation Dynamics: A Cross-Country Investigation

Economy - Finance > Inflation
07/2006
We document that "persistent and lagged" inflation (with respect to output) is a world-wide phenomenon in that…
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This paper provides an overview of statistical measurement issues relating to alternative measures of core inflation, and…
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Does Inflation in China Affect the United States and Japan?

Economy - Finance > Inflation
02/2006
With China’s share in global trade increasing rapidly, some argued in 2002–03 that China was exporting deflation…
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We investigate the international transmission of inflation among G-7 countries using data-determined vector autoregression analysis, as advocated…
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Has Globalization Changed Inflation?

Economy - Finance > Inflation
11/2006
Many observers suggest that the "globalization" of the U.S. economy has changed the behavior of inflation. This…
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The Great Inflation of the Seventies: What Really Happened?

Economy - Finance > Inflation
01/2004
This paper revisits the issue of what factors motivated the macroeconomic policies that led to the Great…
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Determinants of Inflation in GCC

Economy - Finance > Inflation
11/1999
Inflationary pressures have heightened in the oil-rich Gulf Cooperation Council (GCC) since 2003. This paper studies determinants…
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Effects of Inflation

Stress Test Scenario: High Inflation World

Economy - Finance > Inflation
12/2015
The report presents a narrative of how global inflationary pressure over several years impacts the world economy…
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The Welfare Cost of Inflation Risk Under Imperfect Insurance

Economy - Finance > Inflation
05/2015
What are the costs of in flation fluctuations and who bears those costs? In this paper, we…
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The main objective of this paper is to examine the empirical influence of the consumer price index…
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In this article we analyse the industrial impact of monetary shocks since inflation targeting has been introduced…
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Sectoral Money Demand and the great Disinflation in the US

Economy - Finance > Inflation
06/2010
Estimates of the welfare costs of inflation based on Bailey (1956) are typically computed using aggregate money…
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We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in…
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Motivated by the global inflation episode of 2007–08 and concern that high levels of inflation could undermine growth,…
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Post-1980 US data trace out a stable long-run money demand relationship of Cagan's semi-log form between the…
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The assumption of asymmetric and incomplete information in a standard New Keynesian model creates strong incentives for…
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This paper discusses recent economic research that demonstrates that the objectives of price stability and stabilizing economic activity…
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Is Unemployment More Costly Than Inflation?

Economy - Finance > Inflation
10/2007
Previous literature has found that both unemployment and inflation lower happiness. This paper extends the literature by…
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This paper considers the appropriate stabilization objectives for monetary policy in a micro-founded model with staggered price-setting.…
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How Costly is Sustained Low Inflation for the US Economy?

Economy - Finance > Inflation
03/1998
We study the welfare cost of inflation in a general equilibrium life cycle model with growth, costly…
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Assessing and Hedging Inflation Risk

How central banks can best communicate to the market is an increasingly important topic in the central…
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This study examines aggregated short- and long-term inflation expectations in the unbalanced panel of the ECB Survey…
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Using a wide range of survey data on Japanese inflation outlook, this study examines two types of…
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We apply methods to evaluate the risk assessments collected as part of the ECB Survey of Professional…
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This paper analyses the predictive power of market-based and survey-based inflation expectations for actual inflation. We use…
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International spillovers in inflation expectations

Economy - Finance > Inflation
10/2015
This paper investigates the factors behind developments in inflation expectations in euro area, the U.S. and the…
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Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it…
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Trend Inflation in Advanced Economies

Economy - Finance > Inflation
09/2015
We derive estimates of trend inflation for fourteen advanced economies from a framework in which trend shocks…
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The Time-Varying Degree of Inflation Expectations Anchoring

Economy - Finance > Inflation
05/2015
Well-anchored inflation expectations have become a key indicator for the credibility of a central bank’s inflation target.…
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This paper proposes and estimates an extended shadow-rate term structure model, and uses it to extract inflation…
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Inflation Expectations and the News

Economy - Finance > Inflation
03/2015
This paper provides new evidence on the importance of inflation expectations for variation in nominal interest rates,…
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Well anchored inflation expectations are considered to be a reflection of credible monetary policy. In the past,…
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We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing…
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Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with…
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Alternative inflation hedging strategies for ALM

Economy - Finance > Inflation
01/2013
Gone are the days when inflation fears had receded under years of “Great Moderation” in macroeconomics. The…
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A Dynamic Inflation Hedging Trading Strategy using a CPPI

Economy - Finance > Inflation
01/2013
This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic…
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The Federal Reserve is not formally inflation targeting. Nevertheless, it is commonly believed to be an implicit…
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Historically, inflation has been a major concern for long-term investors. The uncertain economic and inflation outlooks we…
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We provide new insights on the formation of inflation expectations - in particular at a time of…
We provide a new perspective on disagreement in inflation expectations by examining the full probability distributions of…
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Inflation risk premia in the US and the euro area

Economy - Finance > Inflation
11/2010
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in…
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Money and Inflation: Some Critical Issues

Economy - Finance > Inflation
10/2010
We consider what, if any, relationship there is between monetary aggregates and inflation, and whether there is…
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Modeling Inflation After the Crisis

Economy - Finance > Inflation
08/2010
In the United States, the rate of price inflation falls in recessions. Turning this observation into a…
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Social Security is widely believed to protect its recipients from inflation because benefits are indexed to the…
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Money growth and inflation: a regime switching approach

Economy - Finance > Inflation
06/2010
We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two regimes…
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Does Money Matter in Inflation Forecasting?

Economy - Finance > Inflation
05/2010
This paper provides the most fully comprehensive evidence to date on whether or not monetary aggregates are…
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Inflation risks and inflation risk premia

Economy - Finance > Inflation
03/2010
This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied…
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This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies,…
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The Fed model postulates that the dividend or earnings yield on stocks should equal the yield on…
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The aim of this study is to assess empirically to what extent the degree of heterogeneity of…
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Inflation expectations play a central role in models of the Phillips curve. At long time horizons inflation…
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Inflation Hedging for Long-Term Investors

Economy - Finance > Inflation
04/2009
Long-term investors face a common problem—how to maintain the purchasing power of their assets over time and…
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Understanding Inflation-Indexed Bond Markets

Economy - Finance > Inflation
03/2009
This paper documents a massive decline in long-term real interest rates from the 1990's until 2008, followed…
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Long run evidence on money growth and inflation

Economy - Finance > Inflation
03/2009
Over the last two centuries, the cross-spectral coherence between either narrow or broad money growth and inflation…
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Inflation forecasting in the new EU Member States

Economy - Finance > Inflation
02/2009
To the best of our knowledge, our paper is the first systematic study of the predictive power…
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What drives euro area break-even inflation rates?

Economy - Finance > Inflation
01/2009
The yield spread between nominal and inflation-linked bonds (or break-even inflation rates, BEIR) is a fundamental indicator…
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This paper contributes to the debate on the role of money in monetary policy by analyzing the information…
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The ECB objective is set in terms of year on year growth rate of the Euro area…
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We use Bayesian estimation techniques to investigate whether money growth Granger-causes inflation in the United States. We…
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We use a mean-adjusted Bayesian VAR model as an out-of-sample forecasting tool to test whether money growth…
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We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term…
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Do monetary indicators lead euro area inflation?

Economy - Finance > Inflation
02/2008
This paper assesses the performance of monetary indicators as well as of a large range of economic…
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The TIPS Yield Curve and Inflation” Compensation

Economy - Finance > Inflation
11/2007
For over ten years, the U.S. Treasury has issued index-linked debt. Federal Reserve Board staff have fitted…
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This paper compares the recent evolution of long-run inflation expectations in the euro area and the United…
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Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out-of-sample: time…
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Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a…
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Why Has U.S. Inflation Become Harder to Forecast?

Economy - Finance > Inflation
06/2006
Forecasts of the rate of price inflation play a central role in the formulation of monetary policy,…
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In recent years, a broad academic consensus has arisen around the use of rational expectations sticky-price models…
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This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases…
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A stable predictive relationship between inflation and the output gap, often referred to as a Phillips curve,…
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Forecasting inflation

Economy - Finance > Inflation
03/1999
This paper investigates forecasts of U.S. inflation at the 12-month horizon. The starting point is the conventional…
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The Invention of Inflation-Indexed Bonds in Early America

Economy - Finance > Inflation
12/2003
The world's first known inflation-indexed bonds were issued by the Commonwealth of Massachusetts in 1780 during the…
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Disagreement about Inflation Expectations

Economy - Finance > Inflation
06/2003
Analyzing 50 years of inflation expectations data from several sources, we document substantial disagreement among both consumers…
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