Related papers: Momentum Informed Inflation-at-Risk

Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…

We empirically investigate the distributional effects of inflation on workers' unemployment tail risks using instrumental variable quantile regression. We find that supply-driven inflation disproportionately raises unemployment tail risks…

Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…

In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…

Modeling and predicting extreme movements in GDP is notoriously difficult and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large…

We propose a class of inflation models in which the coefficient of the inflaton kinetic term rapidly changes with energy scale. This may occur especially if the inflaton moves over a long distance during inflation as in the case of…

The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…

We extend the existing growth-at-risk (GaR) literature by examining a long time period of 130 years in a time-varying parameter regression model. We identify several important insights for policymakers. First, both the level as well as the…

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…

We propose a simple framework to measure consumption insurance against income shocks that accounts for higher-order moments of the income distribution. We derive a nonlinear consumption function in which the extent of insurance varies with…

Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in…

For western economies a long-forgotten phenomenon is on the horizon: rising inflation rates. We propose a novel approach christened D2ML to identify drivers of national inflation. D2ML combines machine learning for model selection with time…

Tail risk protection is in the focus of the financial industry and requires solid mathematical and statistical tools, especially when a trading strategy is derived. Recent hype driven by machine learning (ML) mechanisms has raised the…

Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and…

At the outbreak of the recent inflation surge, the public's attention to inflation was low but increased quickly once inflation started to rise. In this paper, I quantify when and by how much the public's attention to inflation changes, and…

Inflation has been the driving idea in cosmology for two decades and is a pillar of the New Cosmology. The inflationary paradigm has now passed its first round of significant tests, with two of its three basics predictions confirmed at…

It is now understood that inflation dynamics comes in two forms, isentropic or cold inflation and nonisentropic or warm inflation. In the former, inflation occurs without radiation production, whereas in the latter both radiation production…

This paper attempts to provide a decision-theoretic foundation for the measurement of economic tail risk, which is not only closely related to utility theory but also relevant to statistical model uncertainty. The main result is that the…

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices…

There are hidden observables for inflation, such as features localized in position space, which do not manifest themselves when only one inflation trajectory is considered. To address this issue, we investigate inflation dynamics in a…