arXiv 27 May 2024 · Econometrics
arXiv:2405.17237 · PDF · Extracted main text
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 on specific percentiles of the forecast distribution. In contrast, this paper introduces a comprehensive framework that examines how economic indicators impact the entire forecast distribution of macroeconomic variables, facilitating the decomposition of the overall risk outlook into its underlying drivers. Additionally, the framework allows for the construction of risk measures that align with central bank preferences, serving as valuable summary statistics. Applied to the recent inflation surge, the framework reveals that U.S. inflation risk was primarily influenced by the recovery of the U.S. business cycle and surging commodity prices, partially mitigated by adjustments in monetary policy and credit spreads.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Lopez-Salido, D. and F. Loria (2024) Inflation at risk | 1.000 | 7 | 4 | 100% |
| 2 | Kilian, L. and S. Manganelli (2007) Quantifying the Risk of Deflation | 0.956 | 8 | 3 | 88% |
| 3 | Rigon, T. and D. Durante (2021) Tractable Bayesian density regression via logit stick-breaking priors | 0.928 | 15 | 3 | 80% |
| 4 | Koenker, R. and G. Bassett (1978) Regression Quantiles | 0.928 | 4 | 3 | 100% |
| 5 | Korobilis, D., B. Landau, A. Musso, and A. Phella (2021) The Time-Varying Evolution of Inflation Risks, Working Paper Series 2600, European Central Bank | 0.928 | 4 | 3 | 100% |
| 6 | Tagliabracci, A (2020) Asymmetry in the Conditional Distribution of Euro-area Inflation, Working Paper 1270, Bank of Italy | 0.928 | 4 | 3 | 100% |
| 7 | Kilian, L. and S. Manganelli (2008) The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan | 0.874 | 10 | 2 | 100% |
| 8 | Baumeister, C. and J. D. Hamilton (2019) Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand… | 0.874 | 5 | 2 | 100% |
| 9 | Strumbelj, E. and I. Kononenko (2010) An Efficient Explanation of Individual Classifications Using Game Theory | 0.874 | 5 | 2 | 100% |
| 10 | Adrian, T., N. Boyarchenko, and D. Giannone (2019) Vulnerable Growth | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 65 scored citations.