Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates

被引：26

作者：

Apergis, Emmanuel ^{[1
]}

Apergis, Nicholas ^{[2
]}

机构：

[1] Univ Derby, Dept Econ & Finance, Derby, England

[2] Univ Huddersfield, Dept Business Adm, Huddersfield, W Yorkshire, England

来源：

APPLIED ECONOMICS LETTERS | 2021年 / 28卷 / 15期

关键词：

Inflation volatility; Covid-19; GARCHX model; inflation swap rates; UNCERTAINTY;

D O I：

10.1080/13504851.2020.1813245

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The goal of this work is to explore the role of the Covid-19 pandemic event in the course of inflation expectations and their volatility through US inflation swap rates. The findings document that inflation expectations and their volatility are positively affected by the Covid-19 pandemic. These results have real activity implications, while close monitoring of inflation expectations could signal inflation expectations un-anchoring risks.

引用

页码：1327 / 1331

页数：5

共 11 条

[1]

ARMANTIER O., 2020, Working paper

[2] GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].