Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates

Emmanuel Apergis, Nicholas Apergis

Research output: Contribution to journalArticle

Abstract

The goal of this work is to explore the role of the Covid-19 pandemic event in the course of inflation expectations and their volatility through US inflation swap rates. The findings document that inflation expectations and their volatility are positively affected by the Covid-19 pandemic. These results have real activity implications, while close monitoring of inflation expectations could signal inflation expectations un-anchoring risks.
Original languageEnglish
Number of pages5
JournalApplied Economics Letters
Early online date28 Aug 2020
DOIs
Publication statusE-pub ahead of print - 28 Aug 2020

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