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Momentum Informed Inflation-at-Risk

Author

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  • Tibor Szendrei
  • Arnab Bhattacharjee

Abstract

Growth-at-Risk has recently become a key measure of macroeconomic tail-risk, which has seen it be researched extensively. Surprisingly, the same cannot be said for Inflation-at-Risk where both tails, deflation and high inflation, are of key concern to policymakers, which has seen comparatively much less research. This paper will tackle this gap and provide estimates for Inflation-at-Risk. The key insight of the paper is that inflation is best characterised by a combination of two types of nonlinearities: quantile variation, and conditioning on the momentum of inflation.

Suggested Citation

  • Tibor Szendrei & Arnab Bhattacharjee, 2024. "Momentum Informed Inflation-at-Risk," Papers 2408.12286, arXiv.org.
    • Handle: RePEc:arx:papers:2408.12286
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    References listed on IDEAS

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