Christensen, Jens H. E.; Lopez, Jose A.; Rudebusch, Glenn D. - Federal Reserve Bank of San Francisco - 2011
We construct probability forecasts for episodes of price deflation (i.e., a falling price level) using yields on … nominal and real U.S. Treasury bonds. The deflation probability forecasts identify two "deflation scares" during the past … financial crisis. The estimated deflation probabilities are generally consistent with those from macroeconomic models and …