Commodity prices and inflation expectations in the United States /
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| Author / Creator: | Celasun, Oya, author. |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, ©2012. |
| Description: | 1 online resource (25 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper ; WP/12/89 IMF working paper ; WP/12/89. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12500147 |
MARC
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| 100 | 1 | |a Celasun, Oya, |e author. |0 http://id.loc.gov/authorities/names/no98084884 | |
| 245 | 1 | 0 | |a Commodity prices and inflation expectations in the United States / |c Oya Celasun, Roxana Mihet, Lev Ratnovski. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2012. | ||
| 300 | |a 1 online resource (25 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/12/89 | |
| 500 | |a At head of title: Western Hemisphere and Research Departments. | ||
| 500 | |a Title from PDF title page (IMF Web site, viewed March 28, 2012). | ||
| 500 | |a "March 2012." | ||
| 520 | 3 | |a 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. | |
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover Page; Copyright Page; Contents; Text Tables; Text Figures; 1. TIPS-based Inflation Compensation and Commodity Prices; A. Literature; B. Data; 2. Short-term and Longer-term Liquidity Premiums; C. Empirical Strategy; Market-based IE and interest rates; Survey-based IE; A. Commodity Prices and TIPS-based IE; 1. Sensitivity of TIPS-based Noncleaned IE; 1A. Sensitivity of TIPS-based Noncleaned IE Pre-Crisis; 1B. Sensitivity of TIPS-based Noncleaned IE Post-Crisis; 2. Sensitivity of Survey-based Longer-Term IE; B. Commodity Prices and Survey-based IE; C. Commodity Prices and Interest Rates. | |
| 505 | 8 | |a 3. Sensitivity of Nominal Forward Rate4. Sensitivity of Federal Funds Forward Rates; Table A. Weights for Calculating the IMF Food Price Index; Table B. Standardized Macroeconomic News Surprises; Table C. Sensitivity of TIPS-based IE; Table D. Sensitivity of TIPS-based IE Pre-Crisis; Table E. Sensitivity of TIPS-based IE Post-Crisis; Table F. Correlation Between Changes in Expected Oil Prices at Different Horizons; References; Appendix; IV. Conclusions; III. Results; II. Framework; I. Introduction; Title Page; Footnotes. | |
| 650 | 0 | |a Prices |z United States |x Econometric models. | |
| 650 | 0 | |a Inflation (Finance) |z United States |x Econometric models. | |
| 650 | 6 | |a Prix |z États-Unis |x Modèles économétriques. | |
| 650 | 6 | |a Inflation |z États-Unis |x Modèles économétriques. | |
| 650 | 7 | |a Inflation (Finance) |x Econometric models. |2 fast |0 (OCoLC)fst00972453 | |
| 650 | 7 | |a Prices |x Econometric models. |2 fast |0 (OCoLC)fst01076211 | |
| 651 | 7 | |a United States. |2 fast |0 (OCoLC)fst01204155 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Mihet, Roxana, |e author. |0 http://id.loc.gov/authorities/names/no2012047163 | |
| 700 | 1 | |a Ratnovski, Lev, |e author. |0 http://id.loc.gov/authorities/names/no2008007608 | |
| 710 | 2 | |a International Monetary Fund. |b Western Hemisphere Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n82237138 | |
| 710 | 2 | |a International Monetary Fund. |b Research Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n77001219 | |
| 776 | 0 | 8 | |i Print version: |a Celasun, Oya. |t Commodity Prices and Inflation Expectations in the United States. |d Washington : International Monetary Fund, ©2012 |z 9781475502633 |
| 830 | 0 | |a IMF working paper ; |v WP/12/89. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2012/089/001.2012.issue-089-en.xml |y INTERNATIONAL MONETARY FUND |
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