Commodity prices and inflation expectations in the United States /

Commodity prices and inflation expectations in the United States /

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Bibliographic Details
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:
Prices -- United States -- Econometric models.
Inflation (Finance) -- United States -- Econometric models.
Inflation (Finance) -- Econometric models.
Prices -- Econometric models.
United States.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/12500147
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.
ISBN:9781475510317
1475510314
9781475519501
1475519508
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.
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.
Other form:Print version: Celasun, Oya. Commodity Prices and Inflation Expectations in the United States. Washington : International Monetary Fund, ©2012 9781475502633
Table of Contents:
  • 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.
  • 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.

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