Related papers: Momentum Informed Inflation-at-Risk
Measures of inflation uncertainty and directional risk derived from higher moments of forecast distributions are contaminated by the first moment, but in distinct ways. Using individual density forecasts from the ECB Survey of Professional…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…
We study inflationary models where the kinetic sector of the theory has a non-linearly realised symmetry which is broken by the inflationary potential. We distinguish between kinetic symmetries which non-linearly realise an internal or…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
The Growth-at-Risk (GaR) framework has garnered attention in recent econometric literature, yet current approaches implicitly assume a constant Pareto exponent. We introduce novel and robust econometrics to estimate the tails of GaR based…
A dynamical system is said to undergo rate-induced tipping when it fails to track its quasi-equilibrium state due to an above-critical-rate change of system parameters. We study a prototypical model for rate-induced tipping, the saddle-node…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
It is shown that a large class of higher-order (i.e. non-quadratic) scalar kinetic terms can, without the help of potential terms, drive an inflationary evolution starting from rather generic initial conditions. In many models, this…
We examine the incremental value of news-based data relative to the FRED-MD economic indicators for quantile predictions of employment, output, inflation and consumer sentiment in a high-dimensional setting. Our results suggest that news…
Recent results from cosmic microwave background (CMB) experiments verify several of the predictions of inflation, while ruling out a number of alternative structure-formation scenarios. Given the successes of the theory, the obvious next…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
Robust inflation measures gauge inflation behavior by excluding volatile expenditure categories from headline inflation. We evaluate the forecasting performance of a wide set of such measures between 1970 and 2024, including core, median,…
In hybrid inflationary models, inflation ends by a sudden instability associated with a steep ridge in the potential. Here we argue that this feature can generate a large contribution to the curvature perturbation on observable scales. This…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
The estimation of risk measures recently gained a lot of attention, partly because of the backtesting issues of expected shortfall related to elicitability. In this work we shed a new and fundamental light on optimal estimation procedures…
The conventional linear Phillips curve model, while widely used in policymaking, often struggles to deliver accurate forecasts in the presence of structural breaks and inherent nonlinearities. This paper addresses these limitations by…
How does public debt matter for price stability? If it is useful for the private sector to insure idiosyncratic risk, even transitory government debt expansions can exert upward pressure on interest rates and create inflation. As I…
BICEP2's detection on the primordial B-mode of CMB polarization suggests that inflation occurred around GUT scale, with the tensor-to-scalar ratio r~0.2. Inspired by this discosvery, we study the topological inflation which was driven by a…
The observables $T/S$ and $n-1$ are key to testing and understanding inflation. ($T$, $S$, and $n-1$ respectively quantify the gravity-wave and density-perturbation contributions to CMB anisotropy and the deviation of the density…