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---

### I. Introduction
- From mid-2010 to early 2011, crude oil prices increased at an unexpectedly fast pace, with WTI and Brent oil contracts increasing by 60 percent between June 2010 and April 2011.
- The FAO Food Price Index (FFPI) increased 40 percent between June 2010 and February 2011.
- After a softening in the second half of 2011, the upward trend in commodity prices reemerged in 2012.
- U.S. headline consumer price inflation increased from 1.2 to 3.1 percent between October 2010 and April 2011.
- Short-term (for the next five years) TIPS-based breakeven inflation compensation rose from 1.5 to 2.5 percent between October 2010 and April 2011.
- Long-term (five to ten years) TIPS-based compensation rose from 1.8 to 3 percent between October 2010 and April 2011.
- The University of Michigan consumer survey measure of long-term IE rose from 2.7 to 4.6 percent between October 2010 and April 2011.
- Direct pass-through example: with roughly five percent weight on oil-based energy products in the CPI, a one percent increase in oil prices would directly add about five basis points to expected inflation in the year ahead, and one basis point for average inflation expected over the next five years, assuming oil price shocks take about four quarters to feed into domestic prices.

### Research scope and approach
- Period analyzed: 2000–11.
- Market-based measures: inflation compensation derived from the difference between yields of nominal Treasury bonds and TIPS for given maturities; horizons distinguished as short-term (0–5 years) and long-term (5–10 years).
- Robustness checks: removal of liquidity and inflation rate risk premia present in TIPS and nominal Treasuries to obtain a ‘cleaner’ measure of IE.
- Survey-based measures: University of Michigan Survey of Consumers.
- Also studied: impact of commodity price shocks on expectations of nominal interest rates (reflecting expected monetary policy stance).

### Key findings
- Oil and food price changes have a statistically and economically significant impact on near-term (0–5 year) TIPS-based inflation compensation.
- Oil price changes have statistically significant, but economically small, effects on long-term (5–10 year) TIPS-based inflation compensation; these estimated effects are stronger for the post-crisis sample.
- Oil price fluctuations appear to have contributed to higher inflation uncertainty since the crisis: in months of large oil price fluctuations, consumers’ longer term inflation expectations are spread out more widely.
- Oil price changes had no systematic effect on the expected monetary policy stance before the 2008 crisis, consistent with offsetting effects of lower aggregate demand and a wider output gap.
- After the crisis, oil price increases have on average led to expectations of a faster monetary policy tightening—suggesting that, during the recovery, markets associated oil price increases with a faster U.S. recovery and a smaller output gap.
- Example of magnitude: out of a 0.94 percentage point increase in long-term IE between June 2010 and April 2011, 0.10 to 0.15 percentage point can be attributed to a 60 percent increase in oil prices.

### Policy implications and interpretation
- Rising commodity prices can lower growth of private consumption by reducing real disposable income and can hurt investment and job creation by diverting firms’ resources into covering higher energy input costs.
- Higher commodity prices can feed into core inflation, potentially triggering expectations of a tighter monetary policy stance and adding to adverse impacts on aggregate demand.
- A firm anchoring of longer-term IE is a prerequisite for monetary policy to remain extraordinarily accommodative for a prolonged period; thus monitoring commodity-driven movements in IE is crucial for policy calibration.
- The effects of commodity price shocks on inflation expectations are economically modest but statistically significant and have become stronger after the crisis, warranting continued vigilance by the Federal Reserve.
- The observed post-crisis increase in sensitivity is not explained by weaker expected monetary policy responses; instead, markets often associated oil price increases with stronger economic recovery and faster normalization of policy rates post-crisis.
- Both direct effects on long-term IE and increases in perceived inflation-rate risk are likely operating; policymakers should monitor both channels when assessing inflation expectations and communication strategies.

### Data and empirical strategy
- Sample: daily data from 2003Q1 to 2011Q1 (with several specified subsamples); monthly consumer survey data from 2000 to 2011 for survey-based IE.
- Market data: nominal and inflation-linked (TIPS) Treasury yields (5- and 10-year maturities), five-to-ten year forward rates, one- and two-year Federal Funds futures.
- Commodity prices: average of WTI and Brent crude oil indices (one-year ahead futures); IMF food price index constructed from one-year ahead futures on agricultural commodities weighted by global trade basket.
- Controls: standardized surprise components of macroeconomic news (final list of 12 release categories), changes in the U.S. nominal effective exchange rate (NEER), and VIX.
- Key regression forms:
  - Market-based IE and interest rates: ∆Yt = α0 + λ*∆Oilt + θ*∆Foodt + Σ i * MacroNews i,t + *∆MacroControlst + εt
  - Survey-based IE (monthly): ΔMeant = α0 + λ*∆Oilt + θ*∆Foodt + εt; ΔVariancet = α0 + λ*abs(∆Oilt) + θ*abs(∆Foodt) + εt
- Cleaning inflation compensation: used Gürkaynak et al. (2010) approach to remove TIPS liquidity and inflation-rate risk premia via liquidity proxies and a Kalman filter to produce πt adjusted and πt expected.

### Market-based empirical results (TIPS breakevens and cleaned measures)
- Short-term (0–5 year) breakeven:
  - A one percent increase in oil price adds 0.70 basis point to the 0–5 year breakeven rate (column 1, Table 1).
  - A one percent increase in food price index adds 0.13 basis point to 0–5 year breakeven (column 1).
  - Using liquidity-cleaned compensation (πt adjusted): oil futures price growth adds about 0.65 basis point to 0–5 year compensation (column 3).
  - Using compensation cleaned of liquidity and inflation-rate risk (πt expected): oil futures price growth adds 0.058 basis point to 0–5 IE (column 5).
- Longer-term (5–10 year) breakeven:
  - A one percent increase in oil price adds 0.24 basis point to the 5–10 year breakeven rate (column 2).
  - Using liquidity-cleaned compensation: oil futures price growth adds about 0.23 basis point to 5–10 year compensation (column 4).
  - Using compensation cleaned of liquidity and inflation-rate risk: oil futures price growth adds 0.151 basis point to 5–10 IE (column 6).
- Economic magnitudes for June 2010–April 2011 commodity rally:
  - Short-term breakevens rose by 1.40 percentage points.
  - Of that, 0.33 to 0.40 percentage point can be attributed to a 60 percent rise in oil prices.
  - Another 0.05 percentage point can be attributed to a 40 percent rise in food prices.
  - For longer-term breakevens, a 60 percent increase in commodity prices can explain about 0.20 percentage point — approximately a fifth of the 0.94 percentage point increase.

### Subsample differences: pre-crisis vs post-crisis
- Pre-crisis (2000M1–2008M8 / sample variations): sensitivity estimates comparable to overall sample.
- Post-crisis (2009M4–2011M4):
  - Response of 0–5 and 5–10 year breakeven rates to oil price shocks is stronger than in the overall or pre-crisis samples.
  - Based on post-crisis estimates, up to 40 percent of the increase in short-term and up to 20 percent of the increase in long-term IE can be attributed to increased commodity prices (vs about 30 and 10 percent in overall sample).
  - Increased 0–5 sensitivity post-crisis appears to reflect largely a higher inflation risk premium; increased 5–10 sensitivity reflects a higher sensitivity of IE themselves to oil price shocks.
  - Removing inflation-rate risk matters more for 0–5 compensation in the post-crisis sample than for 5–10 compensation.
  - Post-crisis (2009M4–2011M4) 0–5 oil futures growth coefficient: 0.850*** (Table 1B / Table E, dependent variable 0–5 IE, column 1).

### Survey-based IE (University of Michigan, 5–10 year horizon)
- Monthly regressions (2000M1–2011M4 and pre-crisis subset):
  - Oil futures price growth coefficient on Δmean: 0.335 (full sample), not statistically significant at conventional levels.
  - Oil futures price growth coefficient on Δvariance: 8.707* (full sample) — suggests oil price shocks affect dispersion of consumer long-term IE when post-crisis period included.
  - Pre-crisis subsample shows weaker or non-significant effects on variance.
- Interpretation: consumers may respond to commodity shocks with greater inflation uncertainty post-crisis; mean consumer long-term IE do not show robust, significant increases tied to commodity price rises.

### Commodity prices and nominal interest rates (forward rates and Fed Funds futures)
- Nominal forward rates (Table 3):
  - Overall sample: oil futures price growth positively and significantly related to 0–5 and 5–10 nominal forward rates (0.279*** and 0.324*** in columns 1–2).
  - Pre-crisis: commodity price shocks did not affect nominal interest rates systematically.
  - Post-crisis: oil prices are positively related to nominal interest rates (0.752*** and 0.870*** in columns 5–6), consistent with markets associating oil price increases with economic recovery and faster exit from low rates.
- Federal Funds futures (Table 4):
  - Overall sample and subsamples show heterogeneous effects; post-crisis columns show stronger positive relations between oil futures price growth and Fed Funds forward rates (e.g., 0-2 Fed Funds: 0.776***; 1-2 Fed Funds: 1.326** in post-crisis columns).
  - Specific reported post-crisis Federal Funds futures coefficients include 0.441** (0-1), 0.776*** (0-2), 1.326** (1-2) in specified columns of Table 4.

### Robustness and diagnostic evidence
- Liquidity risk premia removal: coefficients on oil futures price growth remain significant and nearly unchanged when cleaning for liquidity risk, suggesting TIPS liquidity is largely unaffected by commodity price shocks.
- Inflation-rate risk removal (Kalman filter): coefficients remain statistically significant, indicating the impact of oil price shocks on inflation compensation is not solely due to changes in estimated inflation-rate risk.
- Tests of expected-futures correlations: changes in one-year ahead oil futures tend to coincide with smaller changes in farther-ahead contracts — no evidence that near-term oil-price increases trigger expectations of sustained oil inflation.

### Conclusions
- Oil and food price shocks have a significant impact on short-term inflation compensation embedded in U.S. Treasury bonds (TIPS breakeven rates), and oil price shocks also have a statistically significant, economically small impact on longer-term inflation compensation.
- Both short- and long-term inflation compensation have become more responsive to oil price shocks since the 2008–09 financial crisis.
- The observed sensitivity of longer-term inflation compensation to oil price shocks can reflect (a) a genuine impact on long-term core inflation expectations, (b) increased perceived inflation rate risk, or (c) (tested and rejected) market beliefs that near-term oil price moves imply sustained future oil-price rallies.
- Survey-based consumer data indicate oil price shocks affect the variance (dispersion) of long-term IE primarily when the post-crisis period is included, consistent with increased perceived inflation rate risk among consumers.
- Policymakers should monitor both the direct-IE channel and the inflation-rate-risk channel when assessing inflation expectations and calibrating communications and policy.

### Key statistics and selected coefficients (preserved exactly)
- One percent increase in oil price adds 0.70 basis point to 0–5 year breakeven (Table 1, column 1).
- One percent increase in oil price adds 0.24 basis point to 5–10 year breakeven (Table 1, column 2).
- One percent increase in oil futures adds about 0.65 basis point to 0–5 year inflation compensation (Table 1, column 3).
- One percent increase in oil futures adds about 0.23 basis point to 5–10 year inflation compensation (Table 1, column 4).
- Using compensation cleaned of liquidity and inflation-rate risk: oil futures growth coefficients are 0.058*** (0–5) and 0.151*** (5–10) (Table 1, columns 5–6).
- During June 2010 to April 2011: short-term breakevens rose by 1.40 percentage points; 0.33 to 0.40 percentage point attributable to a 60 percent rise in oil prices; 0.05 percentage point attributable to a 40 percent rise in food prices.
- For longer-term breakevens: a 60 percent increase in commodity prices can explain about 0.20 percentage point of the 0.94 percentage point increase.
- Post-crisis (2009M4–2011M4) 0–5 oil futures growth coefficient: 0.850*** (Table 1B / Table E, dependent variable 0–5 IE, column 1).
- Nominal forward rates (overall sample): oil futures price growth coefficients 0.279*** (0–5) and 0.324*** (5–10) (Table 3, columns 1–2).
- Federal Funds futures post-crisis: oil futures price growth coefficients include 0.441** (0-1), 0.776*** (0-2), 1.326** (1-2) in specified columns of Table 4.
- Survey-based regression: oil futures price growth on Δvariance = 8.707* (2000M1–2011M4, Table 2, column 2).

*Source: _wp1289 - References .............................................................................................................*

### References .............................................................................................................

### _wp1289 - References .............................................................................................................

### I. Introduction
- From mid-2010 to early 2011, crude oil prices increased at an unexpectedly fast pace, with WTI and Brent oil contracts increasing by 60 percent between June 2010 and April 2011.
- The FAO Food Price Index (FFPI) increased 40 percent between June 2010 and February 2011.
- After a softening in the second half of 2011, the upward trend in commodity prices reemerged in 2012.
- U.S. headline consumer price inflation increased from 1.2 to 3.1 percent between October 2010 and April 2011.
- Short-term (for the next five years) TIPS-based breakeven inflation compensation rose from 1.5 to 2.5 percent between October 2010 and April 2011.
- Long-term (five to ten years) TIPS-based compensation rose from 1.8 to 3 percent between October 2010 and April 2011.
- The University of Michigan consumer survey measure of long-term IE rose from 2.7 to 4.6 percent between October 2010 and April 2011.
- Direct pass-through: with roughly five percent weight on oil-based energy products in the CPI, a one percent increase in oil prices would directly add about five basis points to expected inflation in the year ahead, and one basis point for average inflation expected over the next five years, assuming oil price shocks take about four quarters to feed into domestic prices.

### Research scope and approach
- Period analyzed: 2000–11.
- Market-based measures: inflation compensation derived from the difference between yields of nominal Treasury bonds and TIPS for given maturities; horizons distinguished as short-term (0–5 years) and long-term (5–10 years).
- Robustness checks: removal of liquidity and inflation rate risk premia present in TIPS and nominal Treasuries to obtain a ‘cleaner’ measure of IE.
- Survey-based measures: University of Michigan Survey of Consumers.
- Also studied: impact of commodity price shocks on expectations of nominal interest rates (reflecting expected monetary policy stance).

### Key findings
- Oil and food price changes have a statistically and economically significant impact on near-term (0–5 year) TIPS-based inflation compensation.
- Oil price changes have statistically significant, but economically small, effects on long-term (5–10 year) TIPS-based inflation compensation; these estimated effects are stronger for the post-crisis sample.
- Oil price fluctuations appear to have contributed to higher inflation uncertainty since the crisis: in months of large oil price fluctuations, consumers’ longer term inflation expectations are spread out more widely.
- Oil price changes had no systematic effect on the expected monetary policy stance before the 2008 crisis, consistent with offsetting effects of lower aggregate demand and a wider output gap.
- After the crisis, oil price increases have on average led to expectations of a faster monetary policy tightening—suggesting that, during the recovery, markets associated oil price increases with a faster U.S. recovery and a smaller output gap.
- Example of magnitude: out of a 0.94 percentage point increase in long-term IE between June 2010 and April 2011, 0.10 to

### Policy implications and interpretation
- Rising commodity prices can lower growth of private consumption by reducing real disposable income and can hurt investment and job creation by diverting firms’ resources into covering higher energy input costs.
- Higher commodity prices can feed into core inflation, potentially triggering expectations of a tighter monetary policy stance and adding to adverse impacts on aggregate demand.
- A firm anchoring of longer-term IE is a prerequisite for monetary policy to remain extraordinarily accommodative for a prolonged period; thus monitoring commodity-driven movements in IE is crucial for policy calibration.

*Source: _wp1289 - References .............................................................................................................*

### 0.15 percentage point can be attributed to a 60 percent increase in oil prices. Therefore, the risk

### _wp1289 - 0.15 percentage point can be attributed to a 60 percent increase in oil prices. Therefore, the risk

### Summary findings
- Oil and food price shocks have a significant impact on short-term inflation compensation embedded in U.S. Treasury bonds (TIPS breakeven rates), and oil price shocks also have a statistically significant, economically small impact on longer-term inflation compensation.
- Both short- and long-term inflation compensation have become more responsive to oil price shocks since the 2008–09 financial crisis.
- The observed sensitivity of longer-term inflation compensation to oil price shocks can reflect (a) a genuine impact on long-term core inflation expectations (IE), (b) increased perceived inflation rate risk, or (c) (tested and rejected) market beliefs that near-term oil price moves imply sustained future oil-price rallies.
- Survey-based (University of Michigan) consumer data indicate oil price shocks affect the variance (dispersion) of long-term IE primarily when the post-crisis period is included, consistent with increased perceived inflation rate risk among consumers.

### Mechanisms and interpretation
- Two primary channels explain oil price effects on long-term IE:
  - Direct feed-through of commodity prices into long-term core IE owing to imperfect monetary policy credibility.
  - Commodity price volatility raising inflation rate risk and complicating the monetary policy environment.
- A third potential channel — market participants perceiving a higher chance of a sustained commodity price rally after near-term oil price shocks — is unlikely and not supported by futures data: changes in one-year ahead futures oil contracts tend to coincide with smaller changes at longer horizons.
- Both the direct-IE channel and the inflation-rate-risk channel are consistent with market-based and survey-based evidence; available tools do not allow dismissing either channel.

### Data and empirical strategy
- Sample: daily data from 2003Q1 to 2011Q1 (with several specified subsamples); monthly consumer survey data from 2000 to 2011 for survey-based IE.
- Market data: nominal and inflation-linked (TIPS) Treasury yields (5- and 10-year maturities), five-to-ten year forward rates, one- and two-year Federal Funds futures.
- Commodity prices: average of WTI and Brent crude oil indices (one-year ahead futures); IMF food price index constructed from one-year ahead futures on agricultural commodities weighted by global trade basket.
- Controls: standardized surprise components of macroeconomic news (final list of 12 release categories), changes in the U.S. nominal effective exchange rate (NEER), and VIX.
- Key regression forms:
  - Market-based IE and interest rates: ∆Yt = α0 + λ*∆Oilt + θ*∆Foodt + Σ i * MacroNews i,t + *∆MacroControlst + εt
  - Survey-based IE (monthly): ΔMeant = α0 + λ*∆Oilt + θ*∆Foodt + εt; ΔVariancet = α0 + λ*abs(∆Oilt) + θ*abs(∆Foodt) + εt
- Cleaning inflation compensation: used Gürkaynak et al. (2010) approach to remove TIPS liquidity and inflation-rate risk premia via liquidity proxies and a Kalman filter to produce πt adjusted and πt expected.

### Market-based empirical results (TIPS breakevens and cleaned measures)
- Short-term (0–5 year) breakeven:
  - A one percent increase in oil price adds 0.70 basis point to the 0–5 year breakeven rate (column 1, Table 1).
  - A one percent increase in food price index adds 0.13 basis point to 0–5 year breakeven (column 1).
  - Using liquidity-cleaned compensation (πt adjusted): oil futures price growth adds about 0.65 basis point to 0–5 year compensation (column 3).
  - Using compensation cleaned of liquidity and inflation-rate risk (πt expected): oil futures price growth adds 0.058 basis point to 0–5 IE (column 5).
- Longer-term (5–10 year) breakeven:
  - A one percent increase in oil price adds 0.24 basis point to the 5–10 year breakeven rate (column 2).
  - Using liquidity-cleaned compensation: oil futures price growth adds about 0.23 basis point to 5–10 year compensation (column 4).
  - Using compensation cleaned of liquidity and inflation-rate risk: oil futures price growth adds 0.151 basis point to 5–10 IE (column 6).
- Economic magnitudes for June 2010–April 2011 commodity rally:
  - Short-term breakevens rose by 1.40 percentage points.
  - Of that, 0.33 to 0.40 percentage point can be attributed to a 60 percent rise in oil prices.
  - Another 0.05 percentage point can be attributed to a 40 percent rise in food prices.
  - For longer-term breakevens, a 60 percent increase in commodity prices can explain about 0.20 percentage point — approximately a fifth of the 0.94 percentage point increase.

### Subsample differences: pre-crisis vs post-crisis
- Pre-crisis (2000M1–2008M8 / sample variations): sensitivity estimates comparable to overall sample.
- Post-crisis (2009M4–2011M4):
  - Response of 0–5 and 5–10 year breakeven rates to oil price shocks is stronger than in the overall or pre-crisis samples.
  - Based on post-crisis estimates, up to 40 percent of the increase in short-term and up to 20 percent of the increase in long-term IE can be attributed to increased commodity prices (vs about 30 and 10 percent in overall sample).
  - Increased 0–5 sensitivity post-crisis appears to reflect largely a higher inflation risk premium; increased 5–10 sensitivity reflects a higher sensitivity of IE themselves to oil price shocks.
  - Removing inflation-rate risk matters more for 0–5 compensation in the post-crisis sample than for 5–10 compensation.

### Survey-based IE (University of Michigan, 5–10 year horizon)
- Monthly regressions (2000M1–2011M4 and pre-crisis subset):
  - Oil futures price growth coefficient on Δmean: 0.335 (full sample), not statistically significant at conventional levels (see Table 2).
  - Oil futures price growth coefficient on Δvariance: 8.707* (full sample) — suggests oil price shocks affect dispersion of consumer long-term IE when post-crisis period included.
  - Pre-crisis subsample shows weaker or non-significant effects on variance.
- Interpretation: consumers may respond to commodity shocks with greater inflation uncertainty post-crisis; mean consumer long-term IE do not show robust, significant increases tied to commodity price rises.

### Commodity prices and nominal interest rates (forward rates and Fed Funds futures)
- Nominal forward rates (Table 3):
  - Overall sample: oil futures price growth positively and significantly related to 0–5 and 5–10 nominal forward rates (e.g., 0.279*** and 0.324*** in columns 1–2).
  - Pre-crisis: commodity price shocks did not affect nominal interest rates systematically.
  - Post-crisis: oil prices are positively related to nominal interest rates (e.g., 0.752*** and 0.870*** in columns 5–6), consistent with markets associating oil price increases with economic recovery and faster exit from low rates.
- Federal Funds futures (Table 4):
  - Overall sample and subsamples show heterogeneous effects; post-crisis columns show stronger positive relations between oil futures price growth and Fed Funds forward rates (e.g., 0-2 Fed Funds: 0.776***; 1-2 Fed Funds: 1.326** in post-crisis columns).

### Robustness and diagnostic evidence
- Liquidity risk premia removal: coefficients on oil futures price growth remain significant and nearly unchanged when cleaning for liquidity risk, suggesting TIPS liquidity is largely unaffected by commodity price shocks.
- Inflation-rate risk removal (Kalman filter): coefficients remain statistically significant, indicating the impact of oil price shocks on inflation compensation is not solely due to changes in estimated inflation-rate risk.
- Tests of expected-futures correlations (Table F): changes in one-year ahead oil futures tend to coincide with smaller changes in farther-ahead contracts — no evidence that near-term oil-price increases trigger expectations of sustained oil inflation.

### Policy implications and conclusions
- The effects of commodity price shocks on inflation expectations are economically modest but statistically significant and have become stronger after the crisis, warranting continued vigilance by the Federal Reserve.
- The observed post-crisis increase in sensitivity is not explained by weaker expected monetary policy responses; instead, markets often associated oil price increases with stronger economic recovery and faster normalization of policy rates post-crisis.
- Both direct effects on long-term IE and increases in perceived inflation-rate risk are likely operating; policymakers should monitor both channels when assessing inflation expectations and communication strategies.

### Key statistics and selected coefficients (preserved exactly as reported)
- One percent increase in oil price adds 0.70 basis point to 0–5 year breakeven (Table 1, column 1).
- One percent increase in oil price adds 0.24 basis point to 5–10 year breakeven (Table 1, column 2).
- One percent increase in oil futures adds about 0.65 basis point to 0–5 year inflation compensation (Table 1, column 3).
- One percent increase in oil futures adds about 0.23 basis point to 5–10 year inflation compensation (Table 1, column 4).
- Using compensation cleaned of liquidity and inflation-rate risk: oil futures growth coefficients are 0.058*** (0–5) and 0.151*** (5–10) (Table 1, columns 5–6).
- During June 2010 to April 2011: short-term breakevens rose by 1.40 percentage points; 0.33 to 0.40 percentage point attributable to a 60 percent rise in oil prices; 0.05 percentage point attributable to a 40 percent rise in food prices.
- Post-crisis (2009M4–2011M4) 0–5 oil futures growth coefficient: 0.850*** (Table 1B / Table E, dependent variable 0–5 IE, column 1).
- Nominal forward rates (overall sample): oil futures price growth coefficients 0.279*** (0–5) and 0.324*** (5–10) (Table 3, columns 1–2).
- Federal Funds futures post-crisis: oil futures price growth coefficients include 0.441** (0-1), 0.776*** (0-2), 1.326** (1-2) in specified columns of Table 4.
- Survey-based regression: oil futures price growth on Δvariance = 8.707* (2000M1–2011M4, Table 2, column 2).

*Source: IMF staff estimates, Bloomberg LP, Haver Analytics, Reuters/University of Michigan Survey of Consumers.*

### REFERENCES

### _wp1289 - REFERENCES

### Inflation expectations, surveys, and measurement
- Armantier, O., W. Bruine de Bruin, G. Topa, W. van der Klaauw, and B. Zafar, 2011, Inflation Expectations and Behavior: Do Survey Respondents Act on Their Beliefs? Federal Reserve Board of New York, Staff Report No. 509.
- Beechey, M.J., B.K. Johannsen, and A.T. Levin, 2011, Are Long-Run IE Anchored More Firmly in the Euro Area Than in the United States? American Economic Journal: Macroeconomics, 3(2), 104–29. doi:10.1257/mac.3.2.104
- Beechey, M.J., B.K. Johannsen, and A.T. Levin, and J.H.Wright, 2009, The high-frequency impact of news on long-term yields and forward rates: Is it real? Journal of Monetary Economics, Elsevier, 56(4), 535–44. doi:10.1016/j.jmoneco.2009.03.011
- Bruine de Bruin, W., C.F. Manski, G. Topa, and W. van der Klaauw, W., 2011, Measuring Consumer Uncertainty about Future Inflation. Journal of Applied Econometrics, 26(3), 454–78. doi: 10.1002/jae.1239
- Clark, T. E., and T. Nakata, 2008, Has the Behavior of Inflation and Long-Term Inflation Expectations Changed? Economic Review, Federal Reserve Bank of Kansas City, 1(1), 17–50.
- Van der Klaauw, W., W. Bruine de Bruin, G. Topa, S. Potter, and M.F. Bryan, 2008, Rethinking the Measurement of Household Inflation Expectations: Preliminary Findings. Federal Reserve Bank of New York, Staff Report No. 359.

### TIPS, inflation compensation, and yield curves
- D’Amico, S., D.H. Kim, and M Wei, 2010, Tips From TIPS: The Informational Content of Treasury Inflation-Protected Security Prices. Federal Reserve Bank of Washington D.C., Staff Working Paper No. 19.
- Gürkaynak, R.S., B. Sack, and J.H.Wright, 2010, The TIPS Yield Curve and Inflation Compensation. American Economic Journal: Macroeconomics, 2(1), 70–92. doi:10.1257/mac.2.1.70
- Gürkaynak, R.S., and E. Swanson, 2005, The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models. American Economic Review, 95(1), 425–36. doi:10.1.1.178.5999
- Gürkaynak, R.S., A.T. Levin, A.N. Marder, and E.T. Swanson, E. T., 2007, Inflation Targeting and the Anchoring of Inflation Expectations in the Western Hemisphere. Economic Review, Federal Reserve Bank of San Francisco, 25–47.

### Monetary policy communications and official statements
- FOMC [Federal Open Markets Committee], March 2011, Press Release. Retrieved from http://www.federalreserve.gov/newsevents/press/monetary/20110315a.htm.
- Reinhart, V. R., 2011, Hearing on How Federal Reserve Policies Add to Hard Times at the Pump. Statement before the United States House of Representatives, American Enterprise Institute. Retrived from: http://www.cepr.net/index.php/events/events/how-federal-reserve-policies-add-to-hard-times-at-the-pump

### Commodity and energy price dynamics, oil shocks, and forecasting
- Borenstein, S., C.A. Cameron, R. Gilbert, 1997, Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes? The Quarterly Journal of Economics, 112(1), 305–39. doi:10.1162/003355397555118
- Hamilton, J.D. (2008). Understanding Crude Oil Prices. The Quarterly Journal of the IAEE's Energy Economics Education Foundation, 30(2), 179–206. doi:10.5547/ISSN0195-6574-EJ-Vol30-No2–9
- Kilian, L., 2008, The Economic Effects of Energy Price Shocks. Journal of Economic Literature, 46(4), 871–909. doi:10.1257/jel.46.4.871
- Sill, K., 2007, The Macroeconomics of Oil Shocks. Federal Reserve Bank of Philadelphia, Business Review, 1(1), 21–31.
- Simon, J., D. Leigh, A. Pescatori, A. Alichi, L. Catao, O. Kamenik, H. Kim, D. Laxton, R. Portillo, and F. Zanna, September 2011, Target What You Can Hit: Commodity Price Swings and Monetary Policy. International Monetary Fund, World Economic Outlook, Chapter 3 (Washington).
- Roache, S. K., and D.A.Reichsfeld, 2011, Do Commodity Futures Help Forecast Spot Prices? International Monetary Fund, Working Paper No. 11/254.
- Gerlach, P., P. Hördahl, and R. Moessner, 2011, Inflation Expectations and the Great Recession. BIS Quarterly Review, 3(1).

### Forecasting inflation and macroeconomic implications
- Stock, J. H., and M. W. Watson, 1999, Forecasting Inflation. Journal of Monetary Economics, 44(2), 293–335.
- Stock, J. H., and M. W. Watson, 2007, Has U.S. Inflation Become Harder to Forecast? Journal of Money, Credit, and Banking, 39, 3–33. doi=10.1.1.174.7404

*References list from _wp1289 - REFERENCES*

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_Source: https://www.imf.org/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2012/_wp1289.pdf_