Inflation expectations, volatility and Covid-19: evidence from the US inflation swap rates

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:

• Inflation volatility
• Covid-19
• GARCHX model
• inflation swap rates

JEL CLASSIFICATION:

• E31
• Q54

Disclosure statement

No potential conflict of interest was reported by the authors.