Inflation surprises across developed and emerging economies
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/34373 |
Resumo: | I construct a novel data-set containing monthly inflation surprises for a set of developed and emerging economies. These data are used in a panel setting to analyze the relationship between inflation surprises and changes in short- and long-term interest rates as well as exchange rates on CPI release days. I find that a 1% upward surprise in monthly inflation is associated with (1) a +7.4bps daily change in the two-year benchmark interest rate; (2) a +5.1bps daily change in the ten-year rate and (3) an appreciation in the domestic exchange rate relative to the U.S. Dollar. Such sensitivities are heterogeneous across country groups. Interest rates in emerging economies are more sensitive to inflation surprises than those in developed markets. In contrast, exchange rates in emerging markets appear to be less sensitive to such surprises relative to developed counterparts. |
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Pacheco, André SanchezEscolas::EESP2023-10-17T14:32:28Z2023-10-17T14:32:28ZTD 566https://hdl.handle.net/10438/34373I construct a novel data-set containing monthly inflation surprises for a set of developed and emerging economies. These data are used in a panel setting to analyze the relationship between inflation surprises and changes in short- and long-term interest rates as well as exchange rates on CPI release days. I find that a 1% upward surprise in monthly inflation is associated with (1) a +7.4bps daily change in the two-year benchmark interest rate; (2) a +5.1bps daily change in the ten-year rate and (3) an appreciation in the domestic exchange rate relative to the U.S. Dollar. Such sensitivities are heterogeneous across country groups. Interest rates in emerging economies are more sensitive to inflation surprises than those in developed markets. In contrast, exchange rates in emerging markets appear to be less sensitive to such surprises relative to developed counterparts.engEscola de Economia de São Paulo da Fundação Getulio Vargas (FGV-EESP)Textos para Discussão / Working Paper Series;TD 566Inflation surprisesYield curveInterest ratesExchange ratesEconomiaInflaçãoTaxas de câmbioDesenvolvimento econômicoInflation surprises across developed and emerging economiesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVLICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/ff7e3398-4749-4c54-bfc1-4ad6da5da367/downloaddfb340242cced38a6cca06c627998fa1MD52ORIGINALTD 566 - André Sanchez Pacheco.pdfTD 566 - André Sanchez 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dc.title.eng.fl_str_mv |
Inflation surprises across developed and emerging economies |
title |
Inflation surprises across developed and emerging economies |
spellingShingle |
Inflation surprises across developed and emerging economies Pacheco, André Sanchez Inflation surprises Yield curve Interest rates Exchange rates Economia Inflação Taxas de câmbio Desenvolvimento econômico |
title_short |
Inflation surprises across developed and emerging economies |
title_full |
Inflation surprises across developed and emerging economies |
title_fullStr |
Inflation surprises across developed and emerging economies |
title_full_unstemmed |
Inflation surprises across developed and emerging economies |
title_sort |
Inflation surprises across developed and emerging economies |
author |
Pacheco, André Sanchez |
author_facet |
Pacheco, André Sanchez |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Pacheco, André Sanchez |
dc.subject.eng.fl_str_mv |
Inflation surprises Yield curve Interest rates Exchange rates |
topic |
Inflation surprises Yield curve Interest rates Exchange rates Economia Inflação Taxas de câmbio Desenvolvimento econômico |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Inflação Taxas de câmbio Desenvolvimento econômico |
description |
I construct a novel data-set containing monthly inflation surprises for a set of developed and emerging economies. These data are used in a panel setting to analyze the relationship between inflation surprises and changes in short- and long-term interest rates as well as exchange rates on CPI release days. I find that a 1% upward surprise in monthly inflation is associated with (1) a +7.4bps daily change in the two-year benchmark interest rate; (2) a +5.1bps daily change in the ten-year rate and (3) an appreciation in the domestic exchange rate relative to the U.S. Dollar. Such sensitivities are heterogeneous across country groups. Interest rates in emerging economies are more sensitive to inflation surprises than those in developed markets. In contrast, exchange rates in emerging markets appear to be less sensitive to such surprises relative to developed counterparts. |
publishDate |
2023 |
dc.date.accessioned.fl_str_mv |
2023-10-17T14:32:28Z |
dc.date.available.fl_str_mv |
2023-10-17T14:32:28Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/34373 |
dc.identifier.sici.none.fl_str_mv |
TD 566 |
identifier_str_mv |
TD 566 |
url |
https://hdl.handle.net/10438/34373 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.none.fl_str_mv |
Textos para Discussão / Working Paper Series;TD 566 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Economia de São Paulo da Fundação Getulio Vargas (FGV-EESP) |
publisher.none.fl_str_mv |
Escola de Economia de São Paulo da Fundação Getulio Vargas (FGV-EESP) |
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