E31 | Jotup

Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany

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星期二, 四月 23, 2024

Consensus, Online, Cream, Honey, Tax, Glass, MAPI, Consensus Economics, Journal of Economic Perspectives, Milk, Shower, Low-alcohol beer, Autoregressive–moving-average model, Infant, C3, Islam, Wine, Core inflation, Research Papers in Economics, National accounts, Kálmán, Barcode, Journal of International Economics, Communication, Royal Statistical Society, COVID19, Kohl (cosmetics), Natural disaster, Business, Observation, Paper, VAT, European Economic Review, Diebold Nixdorf, Blancmange, Calendar, Sunflower oil, Annual Review of Economics, Hand, C4, DESTATIS, NBER, Tinning, Razor, Forecasting, Gasoline, Coffee, European Economic Association, Cat, Journal of Monetary Economics, Journal of Applied Econometrics, Medeiros, Architecture, Oxford University Press, Producer, GfK, Quarterly Journal of Economics, Margarine, NCBS, Starch, Political economy, Consistency, COVID-19, Consensus decision-making, Website, MIDAS, Behavior, Deutsche Bundesbank, PPI, World Bank, Collection, Medical classification, Orange, Eurozone, Butter, FMCG, Noise, Travel, Clothing, History, Inflation, Liver, International economics, Journal of Political Economy, BSI, OLS, Statistics, Consumer, PDF, University of Chicago, Classification, ECB, Fats, Policy, Multi, WOB, Outline, C6, Mincing, Canadian International Council, Social science, Perfume, University of California, Berkeley, Journal of Forecasting, Federal Reserve Bank, JEL, L1, Journal, Research, Candle, Food, TPD, Credit, Spice, LPG, Janssen, Marmalade, Superior, Literature, Chocolate, Beef, Kiel University, European Central Bank, Natural gas, HICP, Monetary economics, Yogurt, Section 5, ILO, Bermingham, Price, GTIN, Cheese, Macroeconomics, Growth, Beck, XJ, Government, De Beer, Supermarket, Ice cream, Naturally, C53, Corn flakes, BIS, Biscuit, LASSO, Petroleum, A.2, Poultry, Accuracy and precision, Application, White, Lettuce, Risk, ESCB, University of Siegen, OECD, Chapter One, Lipstick, Sack, XT, BIC, Garlic, Consumption, Sokol, Meat, VAR, Database, Section 3, Rusk, American Economic Journal, Royal, Curd, Overalls, Lamb, Great Lockdown, Fruit, Economy, COICOP, International Journal of Forecasting, Aftershave, Section 2, Nonparametric statistics, Attention, Conference, CPI, Heat, Public economics, Common sunflower, Nowcasting, American Economic Review, Computational Statistics (journal), GFK, COVID-19 pandemic, Exercise, Shock, Running, UNECE, Edible, Gambling, Banco, Rigid transformation, European Commission, Frozen, C.2, PRISMA, Official statistics, Concept, Drink, Transaction data, Somatosensory system, Punctuality, Altbier, Food prices, Response, GDP, Index, E31, Cabinet of Germany, Holiday, Machine learning, Series, Green, Whisky, Vegetable, Cola, Journal of Econometrics, Sadik Harchaoui, University, Aggregate, World Bank Group, B.1, Use, Book, Economic statistics, Civil service commission, 1L, Apple, Bread, Filter, Central bank, Brandeis University, Economic Modelling, Bank, Barkan, Roulade, Dairy product, Neural network, Reproduction, IMF, Section, ID, Data, D4L, Cryptocurrency

Key Points:

Monetary asmmetries without (and with) price stickiness

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星期五, 四月 19, 2024

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Key Points:

Triple Flag Delivers Strong Q4 and Full Year 2023 Results; Long-Term GEOs Outlook Driven by Growth at Northparkes

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星期三, 二月 21, 2024

Mining, Minerals, Natural Resources, Stawell, Engineering, MPO, Oxide, Growth, Agnico Eagle, Henty, Marigold, GEOS, Webcast, Harrier, EPC, Mineral, NSR, JCM, Resource, Gold, E22, Measurement, Silver, National Army, SSR, Evolution, GRR, Environment, Centerra Gold, Metallurgy, Acquisition, DeLaMar, E31, Nature, CMOC, Barrick Gold, Ernest Henry

Triple Flag’s long-term GEOs sales outlook builds on the sector-leading growth achieved since our inception, with a compound annual growth rate of more than 20% since 2017.

Key Points:

Triple Flag’s long-term GEOs sales outlook builds on the sector-leading growth achieved since our inception, with a compound annual growth rate of more than 20% since 2017.
Northparkes (54% gold stream and 80% silver stream): Sales from Northparkes in Q4 2023 were 3,339 GEOs.
Beta Hunt (3.25% gold GRR and 1.5% NSR gold royalty): Royalties from Beta Hunt in Q4 2023 equated to 1,260 GEOs.
Camino Rojo (2.0% NSR gold royalty on oxides): Royalties from Camino Rojo in Q4 2023 equated to 680 GEOs.

Measuring market-based core inflation expectations

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星期四, 二月 15, 2024

Abstract

Key Points:

Abstract
We build a novel term structure model for pricing synthetic euro area core inflation-linked
swaps, a hypothetical swap contract indexed to core inflation.
The model provides estimates of market-based expectations for core inflation, as
well as core inflation risk premia, at daily frequency, whereas core inflation expectations from
surveys or macroeconomic projections are typically only available monthly or quarterly.
We
find that core inflation-linked swap rates are generally less volatile than headline inflationlinked swap rates and that market participants expected core inflation to be substantially
more persistent than headline inflation following the 2022 energy price spike.
In this paper, we aim to infer market-based core inflation expectations, which are otherwise
not directly observable because no financial asset directly tied to core inflation exists.
We deem this second assumption reasonable because HICP inflation itself is a linear combination
of core as well as energy and food inflation.
The level of 2 percent and relatively low volatility of
long-term inflation expectations suggests that inflation expectations are firmly anchored at the
ECB?s 2 percent inflation target.
This assumption appears reasonably uncontroversial,
as core inflation is a sub-component of headline inflation, which the observable headline ILS
rates are tied to.
Our estimates of core ILS rates reflect both market participants? genuine core
inflation expectations and a core inflation risk premium, but our model explicitly allows for
this decomposition.
The model-implied estimates of core ILS rates appear reasonable along several dimensions:
(i) like realized core inflation is less volatile than headline inflation, the core ILS rates are less
volatile than headline ILS rates, (ii) core ILS rates comove less with oil prices than headline
ILS rates, (iii) the core inflation expectations, as reflected in core ILS rates, typically evolve
similarly as the core inflation projections by Eurosystem staff, and (iv) consistent with market
commentary at the time, core ILS rates suggest that market participants expected core inflation
to be substantially more persistent than headline inflation following the 2022 energy price spike.
To the best of our knowledge, we are the first to price core ILS rates and decompose them into
market-based expectations for and risks around the core inflation outlook.
Our approach to inferring core ILS
rates from headline ILS rates, realized headline and core inflation as well as survey expectations
for headline and core inflation is also related to Ang et al.
Relative
to their study, we separately measure core inflation expectations and risk premia, we provide
core inflation expectations at a higher-frequency, and we provide evidence on the causal effects
ECB Working Paper Series No 2908

6

of monetary policy shocks on core inflation expectations and risk premia.
Specifically, we decompose the synthetic core ILS rates
into average expected core inflation over the lifetime of the swap contract and a core inflation
risk premium that compensates investors for core inflation risk.
In
our model below, this term is constant over time and relatively small, so we will simply refer
to the core inflation risk premium as the difference between the core ILS rate and the average
expected core inflation over the lifetime of the swap contract.
3.2
Core ILS rates

To have a joint model for headline and core ILS rates, we need one further assumption on the
dynamics of realized core inflation.
The assumption that core inflation is driven by the same set of factors as headline inflation
should be relatively uncontroversial: since headline inflation is a weighted average of core and
food and energy inflation, it should reflect any factors driving core inflation.
If there are factors
driving food and energy inflation, which do not show up in core inflation, then those factors
should still show up in headline inflation.
In step two, to be able to infer the factor
loadings of core inflation, we would regress realized core inflation onto the estimated latent
factors to identify the additional parameters in equation (12).
Before the fourth
quarter of 2016, the SPF did not ask respondents for their core inflation expectations, so we
are not able to use survey-based information about core inflation before then.
Before
2016, the fitted core inflation series is somewhat above the realized one, potentially reflecting
that the model has limited information about core inflation over this early period due to the
lack of information about core inflation from surveys.
This could have been the
case if one of the factors moved core inflation and energy and food inflation in exactly offsetting
direction, so the overall impact on headline inflation was exactly zero.
During 2021, for example, there were
ECB Working Paper Series No 2908

25

Figure 7: Decomposition of synthetic core ILS rates
2y core ILS

5y core ILS

5
4

5
ILS

premia

exp

4

ILS

premia

exp

3

3

2

2

1

1

0

0

-1

-1

-2
2017 2018 2019 2020 2021 2022 2023

-2
2017 2018 2019 2020 2021 2022 2023

10y core ILS

5y5y core ILS

5
4

5
ILS

premia

exp

4

ILS

premia

exp

3

3

2

2

1

1

0

0

-1

-1

-2
2017 2018 2019 2020 2021 2022 2023

-2
2017 2018 2019 2020 2021 2022 2023

Note: Synthetic core ILS rates decomposed into genuine core inflation expectations and core inflation risk
premia.
ECB Working Paper Series No 2908
26

Figure 8: Decomposition of ILS rates
2y ILS

5y ILS

5
4

5
ILS

premia

exp

4

3

3

2

2

1

1

0

0

-1

-1

-2
2006

2010

2014

2018

2022

-2
2006

ILS

2010

10y ILS

2018

2022

5
ILS

premia

exp

4

3

3

2

2

1

1

0

0

-1

-1

-2
2006

2014

exp

5y5y ILS

5
4

premia

2010

2014

2018

2022

-2
2006

ILS

2010

premia

2014

2018

exp

2022

Note: ILS rates decomposed into genuine core inflation expectations and core inflation risk premia.
We find that the headline inflation risk premium
indeed does responds more strongly than the core inflation risk premium.
The key
assumption underlying our approach is that traded headline ILS rates span core inflation, which
ECB Working Paper Series No 2908

35

should be reasonably uncontroversial as core inflation is a sub-component of headline inflation.
We fit the model to euro area headline ILS rates, realized headline and core inflation, and
both headline and core inflation expectations reported in the SPF.
Decomposing our core ILS rates into genuine core inflation expectations and core
inflation risk premia shows that shorter maturities mainly reflect core inflation expectations,
while the core inflation risk premium matters relatively more for longer maturities.
Our results suggest that a monetary policy tightening surprise significantly lowers
near-term core inflation expectations, although less so than it lowers headline inflation expectations.

Gas price shocks and euro area inflation

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星期二, 二月 13, 2024

Transfer, Person, Marques, OPEC, Interval (mathematics), Policy, NBER, Research Papers in Economics, The Economic Journal, Danmarks Nationalbank, Socialism, Energy transition, VIX, Canadian International Council, Paper, E30, Great, Macroeconomics, VAR, Central bank, Balke, Quarterly Journal, Q43, Census, Elasticity, USD, Projection, PMI, Social science, Hou, Bank of France, Topa, Fertilizer, Electricity, SSRN, University, A.5, Section 2, Natural gas, COVID-19, Swings, Overalls, Rotation, Journal of Monetary Economics, Harmonization, Title Transfer Facility, Pain, Ferrari, Uncertainty, Statistics, Medical classification, C50, Harper (publisher), Democracy, Shock, IMF, TTF, Fed, PPI, Power, European Central Bank, Monetary economics, Temperature, Section 3, E31, Nature, Food, Local, Joseph Schumpeter, Website, Energy economics, Speech, DeSantis, GDP, Rigidity, BVAR, Confidence interval, Money, Refinitiv, Bank, Baumeister, Pressure, Oil, Deutsche Bundesbank, International Energy Agency, Employment, Section 4, GIZ, C54, Sun, ECB, European Economic Association, Weather, A.9, Quarterly Journal of Economics, Exercise, HICP, Technical report, Attention, Literature, Journal of Applied Econometrics, Reproduction, International economics, Political economy, Absorption, Joseph Stiglitz, Unemployment, Journal, American Economic Review, Index, Section 5, Business, IP, Bachmann, Research, Federal Reserve Bank, Government, PDF, IWH, Complexity, Failure, Energy Information Administration, Explosive

We document

Key Points:

We document
how gas price fluctuations have a heterogeneous pass-through to euro area prices
depending on the underlying shock driving them.
How do gas price shocks feed through to euro area
inflation, and is the pass-through shock-dependent?
We analyse the importance of gas price shocks
for euro area inflation in two steps.
We identify three structural shocks driving European gas prices,
inspired by the literature on oil but tailored to the European gas market: (i) a gas supply
shock, which reduces the supply of natural gas to the European market, increases the
gas price and lowers gas inventories; (ii) an economic activity shock, which lifts demand
for gas due to higher economic production, and finally (iii) a shock to gas inventories,
when gas prices are driven by precautionary demand by gas companies.
First, all three identified shocks are
important drivers of gas price dynamics, but they differ in how persistently they push
ECB Working Paper Series No 2905

2

up gas prices.
The effect on euro area HICP of a shock to gas supply is more
persistent and somewhat higher than when gas prices are driven by economic activity
shocks.
A final key finding is that the pass-through of gas market shocks to euro area inflation
appears non-linear.
The unprecedented volatility of gas prices
contributed to the inflation problem in the euro area, with the gas price shocks feeding
through producer prices, wages and persistently lifting core inflation.
More expensive
energy contributed substantially to the rise in inflation in Europe during 2022.2
Figure 1: Gas price and euro area Harmonized Index of Consumer Prices.
How do gas price shocks feed through to euro area
inflation, and is the pass-through shock-dependent?
For instance, about 75% of gas imports to the euro area arrives
through pipelines, making gas imports difficult to substitute and gas markets subject to
3
See for example the evidence by Rubaszek and Uddin (2020) for the US economy.
We analyse the importance of gas price shocks for
euro area inflation in two steps.
We identify three structural shocks driving European gas prices,
inspired by the literature on oil but tailored to the European gas market: (i) a gas supply
shock, which reduces the supply of natural gas to the European market, increases the
gas price and lowers gas inventories; (ii) an economic activity shock, which lifts demand
for gas due to higher economic production, and finally (iii) a shock to gas inventories,
when gas prices are driven by precautionary demand by gas companies.
First, all three identified shocks are
important drivers of gas price dynamics, but they differ in how persistently they push
up gas prices.
But when gas prices are driven by
inventory demand shocks, the price effect typically dies out within one quarter.
A final key finding is that the pass-through of gas market shocks to euro area inflation appears non-linear.
The unprecedented volatility of gas prices
contributed to the inflation problem in the euro area, with the gas price shocks feeding
through producer prices, wages and persistently lifting core inflation.
(2022) and Alessandri and Gazzani (2023) identify gas supply shocks using VAR models,
finding that gas price shocks lead to persistent increases in headline inflation.14 Ba?bura
et al.
(2023) find positive effects of gas price shocks on core inflation in a BVAR for
the euro area that includes one type of gas shock along a longer list of macroeconomic
shocks.
3.1
Data

For the gas market BVAR model, we use gas quantities, gas prices, gas inventories and
euro area industrial production, as displayed in Figure 2.
(2015) to optimize
ECB Working Paper Series No 2905

13

the posterior distribution.16 The vector Y includes the European gas quantity proxy, gas
inventories, the European gas price benchmark and euro area industrial production.
As demand for gas increases, the gas price also rises
while inventories fall as agents use gas in storage to partially satisfy higher demand.
Shocks to gas
quantities driven by gas supply or inventory shocks tend to revert to pre-shock levels after
around five to seven months, while economic activity shocks lead to a more long-lived
increase in gas demand.19 Dynamics in gas inventories are more similar across shocks.
3.4
Historical events in the European gas market

Before analysing the transmission of the different types of gas shocks to euro area prices,
we show how the model interprets the unprecedented gas price rise in 2022 in terms of
driving factors, and compare it with previous historical episodes of heightened gas price
volatility as a way of validating the model.
Inventory shocks play a
slightly smaller role, accounting for 17% of gas quantity and 23% of gas price fluctuations
while the residual component (i.e.
4
Pass-through of gas price shocks to consumer prices

The pass-through of gas price shocks to inflation is likely to be multi-faceted.
We first consider four outcome variables y: the European gas price, euro area HICP,
core HICP and energy HICP.
Third, depending on the driving factor, gas price increases can pass through to core
inflation in the euro area.
The results underline that gas price shocks can have important implications for inflation in the euro area ? depending on the driving factor of higher gas prices.
Casoli, C., Manera, M., and Valenti, D. ?Energy shocks in the euro area: disentangling
the pass-through from oil and gas prices to inflation?.

Households' response to the wealth effects of inflation

Retrieved on:

星期六, 二月 10, 2024

Key Points:

Triple Flag Congratulates Evolution Mining on its Proposed Acquisition of a Majority Interest in Northparkes

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星期二, 十二月 5, 2023

Mining, Minerals, Natural Resources, Acquisition, NYSE, CMOC, Gold, GEOS, E31, Rio Tinto, Sumitomo Group, Silver, Partnership, Flag, E22, Growth, TSX, Evolution, News, Ernest Henry, Northparkes

Triple Flag Precious Metals Corp. (with its subsidiaries, “Triple Flag” or the “Company”) (TSX:TFPM, NYSE:TFPM) is pleased to congratulate Evolution Mining Limited (“Evolution”) on its proposed acquisition of an 80% interest in the Northparkes open pit and underground copper-gold mine in New South Wales, Australia from China Molybdenum Co., Ltd (“CMOC”).

Key Points:

Triple Flag Precious Metals Corp. (with its subsidiaries, “Triple Flag” or the “Company”) (TSX:TFPM, NYSE:TFPM) is pleased to congratulate Evolution Mining Limited (“Evolution”) on its proposed acquisition of an 80% interest in the Northparkes open pit and underground copper-gold mine in New South Wales, Australia from China Molybdenum Co., Ltd (“CMOC”).
Triple Flag has a strong relationship with the Evolution management team and we look forward to our new long-term partnership at Northparkes.
This world-class operation is well-positioned to deliver value for all stakeholders for decades to come,” commented Shaun Usmar, Triple Flag CEO.
Complementing CMOC’s sustainability initiatives, Triple Flag provides A$50,000 annually towards scholarships and community projects at the operation.

Nexa3D Unveils New Ultrafast Desktop Post-Processing and Three New Resin Materials

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星期四, 十一月 9, 2023

Nexa3D , the ultrafast 3D printing leader, announced today at Formnext, the introduction of a groundbreaking desktop cure system that reduces post-processing time by as much as 80%, bringing ultrafast post-processing to the desktop.

Key Points:

Nexa3D , the ultrafast 3D printing leader, announced today at Formnext, the introduction of a groundbreaking desktop cure system that reduces post-processing time by as much as 80%, bringing ultrafast post-processing to the desktop.
View the full release here: https://www.businesswire.com/news/home/20231108499208/en/
xCURE Desktop curing system reduces resin post processing by as much as 80%.
xPRO9400-FR, produced in partnership with BASF ForwardAM, sets a new standard in flame retardant 3D printing materials.
Nexa3D is dedicated to pushing the boundaries of 3D printing technology, and these new products are a testament to our commitment to innovation, quality, and versatility for ultrafast, high-throughput 3D printing.

Triple Flag Announces Q3 2023 Results – On Track to Achieve Guidance

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星期二, 十一月 7, 2023

Guidance and Outlook Maintained: Triple Flag remains on track to achieve its sales guidance for 2023 of 100,000 to 115,000 GEOs, notwithstanding the Renard diamond mine entering care and maintenance in the fourth quarter of 2023 as described further below.

Key Points:

Guidance and Outlook Maintained: Triple Flag remains on track to achieve its sales guidance for 2023 of 100,000 to 115,000 GEOs, notwithstanding the Renard diamond mine entering care and maintenance in the fourth quarter of 2023 as described further below.
Northparkes (54% gold stream and 80% silver stream): Sales from Northparkes in Q3 2023 were 3,919 GEOs.
In October 2023, Alamos Gold reiterated that Young-Davidson is on track to meet its 2023 production guidance of 185,000 – 200,000 ounces.
Triple Flag has not assumed any contributions from Pumpkin Hollow to GEOs sales in the fourth quarter of 2023.

Nexa3D Adds TPC to its SLS Materials Portfolio; Introduces QLS 260 Fast Cycle Sintering Platform

Retrieved on:

星期三, 十一月 8, 2023

View the full release here: https://www.businesswire.com/news/home/20231107023300/en/

Key Points:

View the full release here: https://www.businesswire.com/news/home/20231107023300/en/
The latest QLS 260 fast cycle laser sintering platform from Nexa3D.
(Photo: Business Wire)
See QLS Series printers and Evonik INFINAM® TPC in action at Formnext, Nexa3D booth E31 in Hall 11.1, from Tuesday, November 7 to Friday, November 10, 2023.
The QLS 260 builds on Nexa3D’s expanding fast-cycle sintering technology, adding a new on-board nitrogen generator for simplified operation and facility requirements.
INFINAM® TPC 8008 P offers a balance of mechanical, thermal, and chemical properties, making it suitable for a wide range of applications.