Inflation surprises across developed and emerging economies

dc.contributor.authorPacheco, André Sanchez
dc.contributor.unidadefgvEscolas::EESPpor
dc.date.accessioned2023-10-17T14:32:28Z
dc.date.available2023-10-17T14:32:28Z
dc.description.abstractI 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.eng
dc.identifier.siciTD 566
dc.identifier.urihttps://hdl.handle.net/10438/34373
dc.language.isoeng
dc.publisherEscola de Economia de São Paulo da Fundação Getulio Vargas (FGV-EESP)por
dc.relation.ispartofseriesTextos para Discussão / Working Paper Series;TD 566
dc.rights.accessRightsopenAccesseng
dc.subjectInflation surpriseseng
dc.subjectYield curveeng
dc.subjectInterest rateseng
dc.subjectExchange rateseng
dc.subject.areaEconomiapor
dc.subject.bibliodataInflaçãopor
dc.subject.bibliodataTaxas de câmbiopor
dc.subject.bibliodataDesenvolvimento econômicopor
dc.titleInflation surprises across developed and emerging economieseng
dc.typeWorking Papereng
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