TY - JOUR
T1 - Inflation expectations, volatility and Covid-19
T2 - evidence from the US inflation swap rates
AU - Apergis, Emmanuel
AU - Apergis, Nicholas
N1 - Publisher Copyright:
© 2020 Informa UK Limited, trading as Taylor & Francis Group.
Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2021/9/1
Y1 - 2021/9/1
N2 - 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.
AB - 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.
KW - Inflation volatility
KW - Covid-19
KW - GARCHX model
KW - inflation swap rates
UR - http://www.scopus.com/inward/record.url?scp=85089989989&partnerID=8YFLogxK
U2 - 10.1080/13504851.2020.1813245
DO - 10.1080/13504851.2020.1813245
M3 - Article
VL - 28
SP - 1327
EP - 1331
JO - Applied Economics Letters
JF - Applied Economics Letters
SN - 1350-4851
IS - 15
ER -
