Template-Type: ReDIF-Paper 1.0
Author-Name: Ryan Niladri Banerjee
Author-X-Name-First: Ryan Niladri
Author-X-Name-Last: Ryan Niladri Banerjee
Author-Name: Juan Contreras
Author-X-Name-First: Juan
Author-X-Name-Last: Contreras
Author-Name: Aaron Mehrotra
Author-X-Name-First: Aaron
Author-X-Name-Last: Mehrotra
Author-Name: Fabrizio Zampolli
Author-X-Name-First: Fabrizio
Author-X-Name-Last: Zampolli
Title: Inflation at risk in advanced and emerging economies
Abstract: We examine how inflation risks have changed over time in a large panel of advanced and emerging market economies (EMEs). Quantile regressions show a general decline in upside inflation risks over time, reflecting successful disinflationary processes and the adoption of inflation targeting regimes. But important non-linearities remain. In advanced economies, the zero lower bound represents a prominent source of downside inflation risk. In EMEs, the exchange rate remains a powerful source of nonlinearity, with large exchange rate depreciations associated with upside inflation risks. Tightening financial conditions increase both up- and downside inflation risks.
Length: 40 pages
Creation-Date: 2020-09
File-URL: https://www.bis.org/publ/work883.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work883.htm
File-Format: text/html
Number: 883
Classification-JEL: E31, E37, E52
Keywords: inflation risk, monetary policy framework, zero lower bound, inflation targeting
Handle: RePEc:bis:biswps:883