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정보검색

소장정보 검색

국회도서관 홈으로 정보검색 소장정보 검색
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Title page 1

Contents 1

Abstract 2

Non-technical summary 3

1. Introduction 4

2. Optimal monetary policy with asymmetric inflation risks 9

2.1. The case of symmetric risks 9

2.2. The case of asymmetric risks: the beliefs representation 10

2.3. The case of asymmetric risks with an unwitting central bank 12

2.4. A illustrative example 13

3. An econometric framework for inflation risk 16

3.1. Model specification 16

3.2. Formally testing for time-varying inflation skewness 19

3.3. In-sample inference 20

3.4. Out-of-sample performance of the model 23

4. Quantitative structural analysis 26

4.1. The RAIT in the post-pandemic era 31

4.2. FAIT vs. RAIT 34

5. Concluding remarks 37

References 39

Appendix 43

A. Solving the New Keynesian model with mark-up shock 43

B. Score-driven framework 53

C. Evidence for other inflation measures 57

D. Monte Carlo analysis 62

E. Additional results 67

Acknowledgements 69

Tables 19

Table 1. Time variation in higher order moments 19

Table 2. Out-of-sample comparison 24

Table 3. Event forecast comparison against SPF 25

Figures 15

Figure 1. Optimal monetary policy under symmetric and asymmetric macroeconomic risks 15

Figure 2. Parameter updating 18

Figure 3. Time-varying moments of inflation 21

Figure 4. Model-based vs rolling measures of skewness 22

Figure 5. Event forecasts 26

Figure 6. Forward guidance under the RAIT 32

Figure 7. Macro dynamics under RAIT 34

Figure 8. FAIT vs. RAIT 36

Appendix Tables 57

Table C1. Time variation in higher order moments 57

Table E1. Out-of-sample comparison - Student t 67

Table E2. Out-of-sample comparison - ϱ = 0, ∀t 67

Table E3. Parameters estimates for the econometric model in Section 3 68

Appendix Figures 58

Figure C1. Risk across different inflation measures 58

Figure C2. Estimated mean for different inflation measures 59

Figure C3. Estimated volatility for different inflation measures 60

Figure C4. Estimated skewness for different inflation measures 61

Figure D1/Figure D5. Estimated asymmetry 65

Figure D2/Figure D6. Disentangling permanent changes 66

Figure E1. Bai and Ng (2005) rolling tests 68

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