Research Dataset

<pre>This study investigates the predictive accuracy and potential biases of market-based inflation expectations, focusing on zero-coupon inflation swaps and breakeven inflation rates. By employing a regime-dependent framework grounded in Markov-switching autoregressive models, the analysis distinguishes between high- and low-volatility periods to evaluate the performance of these instruments. The findings reveal that short-term instruments (e.g., 12-month swaps) provide near-unbiased forecasts, whereas longer-term instruments exhibit systematic biases, especially during volatile periods, reflecting evolving risk premia and liquidity constraints. Structural break analysis uncovers significant shifts in the relationship between market-based inflation expectations and realized inflation, particularly during disruptive events such as the COVID-19 pandemic and the 2021 energy crisis. Additionally, logistic regressions highlight the VIX as a robust predictor of severe forecast errors, underscoring the amplifying effect of financial market turbulence on inflation expectations, while heightened credit market stress (TED Spread) appears to mitigate extreme forecast deviations, potentially reflecting cautious investor behavior or stabilizing central bank interventions. These results underscore the importance of regime-sensitive forecasting approaches and the integration of systemic risk indicators to improve the reliability of market-based inflation expectations in volatile macro-financial environments.<br></pre>本研究考察基于市场的通胀预期（market-based inflation expectations）的预测准确性与潜在偏差，重点聚焦零息通胀互换（zero-coupon inflation swaps）与盈亏平衡通胀率（breakeven inflation rates）两类指标。本研究采用基于马尔可夫转换自回归模型（Markov-switching autoregressive models）的区制依赖分析框架，通过划分高波动与低波动两类区制，评估上述两类工具的预测表现。研究结果显示，短期工具（如12个月期互换合约）的预测近乎无偏，而长期工具则存在系统性偏差，尤其在高波动时期，这一现象反映了动态演化的风险溢价与流动性约束。结构断点分析揭示，基于市场的通胀预期与实现通胀之间的关联存在显著结构性转变，尤其是在新冠疫情（COVID-19 pandemic）、2021年能源危机等重大扰动事件期间。此外，逻辑回归分析表明，VIX波动率指数（VIX）可作为严重预测偏差的稳健预测因子，凸显了金融市场动荡对通胀预期的放大效应；而信贷市场压力抬升时的泰德价差（TED Spread）则似乎会抑制极端预测偏差，这一结果或反映了投资者的谨慎行为，或是央行干预带来的稳定效应。本研究结果凸显了采用区制敏感型预测方法、纳入系统性风险指标的必要性，有助于在动荡的宏观金融环境中提升基于市场的通胀预期指标的可靠性。