- (2015): “Inflation Dynamics Trough Firms’ Pricing Behavior,†in Inflation Dynamics and Monetary Policy, ed. by F. R. B. of Kansas City, Jackson Hole Economic Policy Symposium. Federal Reserve Bank of Kansas City.
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- (2019b): “The Effect of Oil Price Shocks on Inflation Risk,†Mimeo.
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- – Details: Credit spread and excess bond premium as constructed by Gilchrist and Zakrajšek (2012). • Corporate Bond Spread – Source: FRB/US model package available at this Federal Reserve Board website. – Details: RBBB minus RG10. RBBB, yield on BBB-rated corporate bonds. RG10, yield on 10-year Treasury security. • National Financial Conditions Index – Source: FRED. – Details: NFCI, Chicago Fed National Financial Conditions Index, Index, Quarterly, Not Seasonally Adjusted. • Inflation Probabilities from Financial Markets – Source: Provided by the Monetary and Financial Markets Analysis Section of the Monetary Affairs Division of the Federal Reserve Board.
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- – Details: From 1990:Q4 onwards, we use six- to-ten-year-ahead mean CPI inflation forecasts from semiannual surveys from Consensus Economics. Before that date we use the series from Blanchard, Cerutti, and Summers (2015). • Unemployment Rate – Source: FRED. – Details: UNRATE, Civilian Unemployment Rate, Percent, Quarterly, Seasonally Adjusted. • Natural Rate of Unemployment – Source: FRED. – Details: NROU, Natural Rate of Unemployment (Long-Term), Percent, Quarterly, Not Seasonally Adjusted. • Import Price Index – Source: FRED. – Details: B021RG3Q086SBEA CCA, Imports of goods and services (chain-type price index), Continuously Compounded Annual Rate of Change, Quarterly, Seasonally Adjusted. • Oil Price – Source: FRED. – Details: WTISPLC CCA, Spot Crude Oil Price: West Texas Intermediate (WTI), Continuously Compounded Annual Rate of Change, Quarterly, Not Seasonally Adjusted.
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- – Details: Probabilities are inferred from inflation caps and floors contracts as in Baumeister and Kilian (2016).
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- – Details: Probabilities are inferred from inflation caps and floors contracts as in Kitsul and Wright (2013). • Oil Price Surprises – Source: Downloaded from Professor Christiane Baumeister’s Website.
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- • Gilchrist and Zakrajšek (2012) Credit Spread and Excess Bond Premium – Source: Data regularly updated in FEDS Note by Favara, Gilchrist, Lewis, and Zakrajšek (2016).
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- • Stock and Watson (2019) Cyclically Sensitive Inflation – Source: Replication Material of Stock and Watson (2019) on Professor Mark Watson’s Website. – Details: Quarterly CSI inflation rates. • Core Personal Consumption Expenditures – Source: FRED. – Details: PCEPILFE PCA, Personal Consumption Expenditures Excluding Food and Energy (Chain-Type Price Index), Compounded Annual Rate of Change, Quarterly, Seasonally Adjusted.
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Baumeister, C., and L. Kilian (2016): “A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil,†Discussion paper.
Berkowitz, J., I. Biegean, and L. Kilian (1999): “On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series,†Discussion paper.
Blanchard, O., E. Cerutti, and L. H. Summers (2015): “Inflation and Activity: Two Explorations and Their Monetary Policy Implications,†Working Paper Series WP15-19, Peterson Institute for International Economics.
Busetti, F., M. Caivano, and L. Rodano (2015): “On the Conditional Distribution of Euro Area Inflation Forecast,†Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
Busetti, F., M. Caivano, D. D. Monache, and C. Pacella (2019): “The Time-Varying Risk of Italian GDP,†Mimeo, Bank of Italy.
Cecchetti, S. G. (2008): “Measuring the Macroeconomic Risks Posed by Asset Price Booms,†Asset Prices and Monetary Policy, pp. 9–43.
Chernozhukov, V., I. Fernandez-Val, and A. Galichon (2010): “Quantile and Probability Curves without Crossing,†Econometrica, 78(3), 1093–1125.
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Del Negro, M., M. P. Giannoni, and F. Schorfheide (2015): “Inflation in the Great Recession and New Keynesian Models,†American Economic Journal: Macroeconomics, 7(1), 168–96.
- Favara, G., S. Gilchrist, K. F. Lewis, and E. Zakrajšek (2016): “Updating the Recession Risk and the Excess Bond Premium,†Working paper series, FEDS Notes. Washington: Board of Governors of the Federal Reserve System.
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- Ghysels, E., L. Iania, and J. Striaukas (2018): “Quantile-Based Infflation Risk Models,†Working Paper Research 349, National Bank of Belgium.
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Gilchrist, S., and B. Mojon (2018): “Credit Risk in the Euro Area,†Economic Journal, 128(608), 118–158.
Gilchrist, S., and E. Zakrajšek (2012): “Credit Spreads and Business Cycle Fluctuations,†American Economic Review, 102(4), 1692–1720.
Gilchrist, S., R. Schoenle, J. Sim, and E. Zakrajšek (2017): “Inflation Dynamics during the Financial Crisis,†American Economic Review, 107(3), 785–823.
- Kiley, M. T. (2018): “Unemployment Risk,†Finance and Economics Discussion Series 2018-067, Board of Governors of the Federal Reserve System (US).
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Kilian, L., and H. Lütkepohl (2018): Structural Vector Autoregressive Analysis, no. 9781107196575 in Cambridge Books. Cambridge University Press.
- Koenker, R. (2005): Quantile Regression, Econometric Society Monographs. Cambridge University Press.
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- Koenker, R., and P. Ng (2005): “InequalityConstrained Quantile Regression,†Sankhyā: The Indian Journal of Statistics (2003-2007), 67(2), 418–440.
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Korobilis, D. (2017): “Quantile Regression Forecasts of Inflation Under Model Uncertainty,†International Journal of Forecasting, 33(1), 11 – 20.
- Loria, F., C. Matthes, and D. Zhang (2019a): “Assessing Macroeconomic Tail Risk,†Finance and Economics Discussion Series 2019-026, Board of Governors of the Federal Reserve System (US).
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Manzan, S., and D. Zerom (2013): “Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?,†International Journal of Forecasting, 29(3), 469 – 478.
McLeay, M., and S. Tenreyro (2018): “Optimal Inflation and the Identification of the Phillips Curve,†Discussion Papers 1815, Centre for Macroeconomics (CFM).
- Rossi, B. (2014): “Density Forecasts in Economics and Policymaking,†Els Opuscles del CREI, (37).
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Rossi, B., and T. Sekhposyan (2019): “Alternative Tests for Correct Specification of Conditional Predictive Densities,†Journal of Econometrics, 208(2), 638 – 657.
Stock, J. H., and M. W. Watson (2019): “Slack and Cyclically Sensitive Inflation,†Working Paper 25987, National Bureau of Economic Research.
- Tagliabracci, A. (2018): “Essays on Macroeconomic Forecasting. Chapter 1: The Vulnerability of Euro Area Inflation Forecasts,†Doctoral thesis, Universitat Autònoma de Barcelona.
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Wolters, M. H., and P. Tillmann (2015): “The Changing Dynamics of US Inflation Persistence: A Quantile Regression Approach,†Studies in Nonlinear Dynamics & Econometrics, 19(2), 161–182.
- Yellen, J. (2013): “Panel Discussion on “Monetary Policy: Many Targets, Many Instruments. Where Do We Stand?â€Â. A speech at the “Rethinking Macro Policy IIâ€Â, a conference sponsored by the International Monetary Fund, Washington, D.C., April 16, 2013,†Speech 622, Board of Governors of the Federal Reserve System (U.S.). A Data Appendix In this section we provide details on the data for the United States and the euro area. A.1 United States • Core Consumer Price Index – Source: FRED. – Details: CPILFESL PCA, Consumer Price Index for All Urban Consumers: All Items Less Food and Energy, Compounded Annual Rate of Change, Quarterly, Seasonally Adjusted.
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