Deflation Risk
通过提取通胀互换和期权的市场价格中的通胀客观分布，研究发现市场预期未来30年平均通胀约2.5%，但通缩情景被赋予显著权重，且通缩风险与金融市场表现和消费者信心负相关。
We study the nature of deflation risk by extracting the objective distribution of inflation from the market prices of inflation swaps and options. We find that the market expects inflation to average about 2.5% over the next 30 years. Despite this, the market places substantial weight on deflation scenarios in which prices significantly decline over extended horizons. The market prices the economic tail risk of deflation similarly to other types of tail risks, such as corporate default or catastrophic insurance losses. We find that deflation risk is strongly negatively correlated with outcomes in the financial markets and with consumer confidence.Received January 26, 2015; editorial decision November 14, 2016 by Editor Leonid Kogan.