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http://ssrn.com/abstract=2169976
 
 

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Tails of Inflation Forecasts and Tales of Monetary Policy


Philippe Andrade


Banque de France

Eric Ghysels


University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Julien Idier


European Central Bank (ECB)

November 1, 2012

UNC Kenan-Flagler Research Paper No. 2013-17

Abstract:     
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation 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. Not only the extent but also the asymmetry of inflation risks evolve over time. Moreover, changes in this asymmetry have an impact on future inflation realizations as well as on the current interest rate central banks target.

Number of Pages in PDF File: 51

Keywords: Tail risk, Survey of Professional Forecasters

JEL Classification: E40, E47

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Date posted: November 3, 2012  

Suggested Citation

Andrade, Philippe and Ghysels, Eric and Idier, Julien, Tails of Inflation Forecasts and Tales of Monetary Policy (November 1, 2012). UNC Kenan-Flagler Research Paper No. 2013-17. Available at SSRN: http://ssrn.com/abstract=2169976 or http://dx.doi.org/10.2139/ssrn.2169976

Contact Information

Philippe Andrade
Banque de France ( email )
Paris
France
Eric Ghysels (Contact Author)
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )
Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)
HOME PAGE: http://www.unc.edu/~eghysels/
Julien Idier
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
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