Hidden Bibliographic Details
| Other authors / contributors: | Mihet, Roxana, author.
Ratnovski, Lev, author.
International Monetary Fund. Western Hemisphere Department, issuing body.
International Monetary Fund. Research Department, issuing body.
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| ISBN: | 9781475510317
1475510314
9781475519501
1475519508
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| Notes: | At head of title: Western Hemisphere and Research Departments.
Title from PDF title page (IMF Web site, viewed March 28, 2012).
"March 2012."
Includes bibliographical references.
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| Summary: | U.S. monetary policy can remain extraordinarily accommodative only if longer-term inflation expectations stay well-anchored, including in response to commodity price shocks. We find that oil price shocks have a statistically significant, but economically small impact on longer-term inflation compensation embedded in U.S. Treasury bonds. The estimated effect is larger for the post-crisis period, and robust to controlling for measures of liquidity risk premia. Oil price shocks are also correlated with the variance of longer-term inflation expectations in the University of Michigan Survey of Consumers in the post-crisis period. These results are not attributable to looser monetary policy - oil price increases were associated with expectations of a faster monetary tightening after the crisis. Overall, the findings are consistent with some impact of commodity prices on long-term inflation expectations and/or on inflation rate risk.
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| Other form: | Print version: Celasun, Oya. Commodity Prices and Inflation Expectations in the United States. Washington : International Monetary Fund, ©2012 9781475502633
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