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Commodity Prices and Inflation Expectations in the United States
Oya CelasunMr.Lev RatnovskiMissRoxana Mihet
出版International Monetary Fund, 2012-03-01
主題Business & Economics / Economics / MacroeconomicsBusiness & Economics / Inflation
ISBN147550263X9781475502633
URLhttp://books.google.com.hk/books?id=NVMZEAAAQBAJ&hl=&source=gbs_api
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註釋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.