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Inflation Risks in Israel

Author

Listed:
  • Michael Gurkov

    (Bank of Israel)

  • Osnat Zohar

    (Bank of Israel)

Abstract

We examine how inflation risks in Israel evolved over time. We find that until 2013, inflation uncertainty was stable, and risks were moderately skewed downwards. However, since 2014, uncertainty decreased, and downside risks to inflation became much more dominant. The model attributes these developments to the decline in the inflation environment, as it is captured by realized inflation and long-term expectations, and to changes in oil prices. However, we cannot rule out that the monetary rate approaching the effective lower bound also contributed to these changes.

Suggested Citation

  • Michael Gurkov & Osnat Zohar, 2022. "Inflation Risks in Israel," Bank of Israel Working Papers 2022.19, Bank of Israel.
    • Handle: RePEc:boi:wpaper:2022.19
    as

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    File URL: https://boiwebrepec.azurefd.net/RePEc/boi/wpaper/WP_2022.19.pdf
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    References listed on IDEAS

    as
    1. Giglio, Stefano & Kelly, Bryan & Pruitt, Seth, 2016. "Systemic risk and the macroeconomy: An empirical evaluation," Journal of Financial Economics, Elsevier, vol. 119(3), pages 457-471.
    2. Eyal Argov & Emanuel Barnea & Alon Binyamini & Eliezer Borenstein & David Elkayam & Irit Rozenshtrom, 2012. "MOISE: A DSGE Model for the Israeli Economy," Bank of Israel Working Papers 2012.06, Bank of Israel.
    3. Michael Gurkov & Osnat Zohar, 2022. "Growth at Risk: Forecast Distribution of GDP Growth in Israel," Bank of Israel Working Papers 2022.08, Bank of Israel.
    4. Ryan Niladri Banerjee & Juan Contreras & Aaron Mehrotra & Fabrizio Zampolli, 2020. "Inflation at risk in advanced and emerging economies," BIS Working Papers 883, Bank for International Settlements.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    inflation at risk; density forecasts; quantile regressions; effective lower bound.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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