We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of … inflation swaps and options. We find that the market expects inflation to average about 2.5 percent over the next 30 years … to other types of tail risks such as catastrophic insurance losses. In contrast, inflation tail risk has only a …

suggests that commodity futures are an inconsistent, if not tenuous, hedge against unexpected inflation. Further, the …

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses … quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news … empirical pricing kernels. The options-implied densities assign considerably more mass to extreme inflation outcomes (either …

to the fact that both bond and equity yields commove strongly and positively with expected inflation. While inflation … commoves with nominal bond yields for well-known reasons, the positive correlation between expected inflation and equity yields … uncertainty about real growth prospects and habit -- based risk version. In the US, high expected inflation has tended to …

Surveys do! We examine the forecasting power of four alternative methods of forecasting U.S. inflation out …