How Likely Is an Inflation Disaster?

• 成果类型: Article
• 署名作者: Hilscher, Jens; Raviv, Alon; Reis, Ricardo
• 署名单位: University of California System; University of California Davis; Bar Ilan University; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf058
• 发表日期: 2026-03
• 页码: 744-782
• 关键词: E31; E44; E52; G13; risk premia; EXPECTATIONS EVIDENCE; rare disasters; interest-rates; asset markets; yield curve; P 500; options; probability; deflation

摘要

Long-dated inflation swap contracts provide widely used estimates of expected inflation. We develop methods to estimate complementary tail probabilities for persistently very high or low inflation using inflation options prices. We show that three new adjustments to conventional methods are crucial: inflation, horizon, and risk. We find that: (a) U.S. deflation risk in 2011-2014 has been overstated, (b) ECB unconventional policies lowered deflation disaster probabilities, (c) inflation expectations deanchored in 2021-2022, (d) reanchored as policy tightened, (e) but the 2021-2024 disaster left scars, and (f) U.S. expectations are less sensitive to inflation realizations than in the eurozone.