Inflation Risks in Israel

Michael Gurkov () and Osnat Zohar
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Michael Gurkov: Bank of Israel

No 2022.19, Bank of Israel Working Papers from Bank of Israel

Abstract: We examine how inflation risks in Israel evolved over time. We find that until 2013, inflation uncertainty was stable, and risks were moderately skewed downwards. However, since 2014, uncertainty decreased, and downside risks to inflation became much more dominant. The model attributes these developments to the decline in the inflation environment, as it is captured by realized inflation and long-term expectations, and to changes in oil prices. However, we cannot rule out that the monetary rate approaching the effective lower bound also contributed to these changes.

Keywords: inflation at risk; density forecasts; quantile regressions; effective lower bound. (search for similar items in EconPapers)
JEL-codes: E31 E37 E58 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2022-12
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:boi:wpaper:2022.19

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