IDEAS home Printed from https://ideas.repec.org/a/mcb/jmoncb/v39y2007i2-3p561-590.html

Quantifying the Risk of Deflation

Author

Listed:
  • LUTZ KILIAN
  • SIMONE MANGANELLI

Abstract

We propose formal and quantitative measures of the risk that future inflation will be excessively high or low relative to the range preferred by a private sector agent. Unlike alternative measures of risk, our measures are designed to make explicit the dependence of risk measures on the private sector agent's preferences with respect to inflation. We illustrate our methodology by estimating the risks of deflation for the United States, Germany, and Japan for horizons of up to 2 years. The question of how large these risks are has been subject to considerable public debate. We find that, as of September 2002 when this question first arose, there was no evidence of substantial deflation risks for the United States and for Germany, contrary to some conjectures at the time. In contrast, there was evidence of substantial deflation risks in Japan. Copyright 2007 The Ohio State University.

Suggested Citation

  • Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 561-590, March.
    • Handle: RePEc:mcb:jmoncb:v:39:y:2007:i:2-3:p:561-590
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:39:y:2007:i:2-3:p:561-590. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.