We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) inflation tail 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 …

area to examine the pass-through to headline CPI, core CPI, PPI and import price inflation vis-à-vis other global and … domestic shocks. The results suggest that shipping cost uncertainty shocks have sizeable effects on all inflation measures and … affect significantly core CPI inflation. These findings imply that shipping cost mean and uncertainty should also be …

implementation of Muth’s hypothesis to represent market participants’ inflation expectations under Knightian uncertainty arising from … that processes driving inflation time-series and inflation forecasts undergo nonrecurring structural shifts. In contrast to …

inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another … tends to intensify. This paper examines empirical methodologies to measure the strength of the interdependence of inflation … uncertainty between the UK and the euro area. We first estimate inflation uncertainty by expost forecast errors from a bivariate …

This paper investigates the impacts of inflation uncertainty on inflation and economic activities. We take three steps …. We first put together various measures of inflation uncertainty—including survey- and model-based - and extract a common … inflation uncertainty for the group of seven advanced economies and seven large emerging market economies. Using the inflation …

We document that inflation risk in the U.S. varies significantly over time and is often asymmetric. To analyze the … direction of inflation risks. We perform counterfactual analyses using a quantitative general equilibrium model to evaluate the … implications of incorporating real-time estimates of the balance of inflation risks into monetary policy communications and …

We study how monetary policy affects inflation uncertainty. Using a survey of Mexican firms and exploiting quasi …-random variation in the response date, we estimate the effect of a monetary policy decision and surprise on firms perceived inflation … uncertainty. We find that a one percentage point contractionary monetary policy reduces inflation uncertainty by 0.02 percentage …

Consumers' inflation expectations play a key role in the monetary transmission mechanism. As such, it is crucial for … as means to shed light on some of the more puzzling aspects of reported quantitative inflation perceptions and … expectations. These include the apparent overestimation of inflation by consumers as well as the negative correlation observed …

We rely on the Atlanta Fed's Business Inflation Expectations survey to draw inference about firms' inflation … literature, we find evidence that the concept of "aggregate inflation" as measured through price statistics like the consumer … experiments (including randomized controlled trials) that show how researchers word questions to elicit inflation expectations and …

monetary policy regime under uncertain inflation dynamics that alter the steady state properties of the underlying model as … well as the stochastic dependencies between model parameters and shocks. Since shifts in the inflation target are examples … persistence of inflation to the recent proposal of Blanchard et al. (2010) to raise the inflation target from its conventional …