Inflation expectations, volatility and Covid-19: Evidence from the US inflation swap rates
Journal article
Apergis, Nicholas and Apergis, Emmanuel 2020. Inflation expectations, volatility and Covid-19: Evidence from the US inflation swap rates. Applied Economics Letters. https://doi.org/10.1080/13504851.2020.1813245
Authors | Apergis, Nicholas and Apergis, Emmanuel |
---|---|
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. |
Keywords | Research Subject Categories::SOCIAL SCIENCES; Inflation volatility; Covid-19; GARCHX model; inflation swap rates |
Year | 2020 |
Journal | Applied Economics Letters |
Publisher | Taylor & Francis |
ISSN | 1350-4851 |
1466-4291 | |
Digital Object Identifier (DOI) | https://doi.org/10.1080/13504851.2020.1813245 |
Web address (URL) | http://hdl.handle.net/10545/625135 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/625135 | |
Publication dates | 28 Aug 2020 |
Publication process dates | |
Deposited | 28 Aug 2020, 16:05 |
Accepted | 17 Jan 2020 |
Rights | Attribution-NonCommercial-NoDerivatives 4.0 International |
Contributors | University of Derby and University of Huddersfield |
File | File Access Level Open |
File | File Access Level Open |
File |
Permalink -
https://repository.derby.ac.uk/item/94002/inflation-expectations-volatility-and-covid-19-evidence-from-the-us-inflation-swap-rates
Download files
238
total views36
total downloads0
views this month1
downloads this month