We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area …, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation … estimate the model with data from the early 1970s up to the present. Our analysis suggests that the risks of a Low inflation …

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 …