How Likely Is an Inflation Disaster?
利用通胀期权价格，开发新方法估算极端高通胀或低通胀的尾部概率，发现美国2011-2014年通缩风险被高估，欧央行非常规政策降低了通缩灾难概率，2021-2022年通胀预期脱锚，政策收紧后重新锚定，但灾难留下疤痕，且美国预期对通胀实现的敏感度低于欧元区。
Abstract 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.