글로벌 상품가격과 기대 인플레이션의 불확실성

This paper empirically analyzed the relationship between global commodity prices and inflation expectations that are proxyed by the breakeven inflation derived from the U.S. Treasury Note yields on monthly data for the sample period July 2004 - June 2022. Markov Switching regression analysis was performed to examine patterns to be changed in the interactions, and UCSV (Unobserved Components Stochastic Volatility) model was used to estimate volatility. ARDL (Autoregressive Distributed Lag) was applied to understand the interrelationship between the two time series. The results of the empirical analysis over the sample period are as follows: First, in the five-year BEI, the expected duration of deflation was long and the probability of staying in a state was high. Second, in the case of the 20-year BEI, it was confirmed that the interaction between commodity prices and inflation expectations was active during rising inflation or deflation. Third, food had nothing to do with inflation expectations in a stable state, but energy had an inverse relationship with inflation expectations. Fourth, according to the ARDL estimation results, energy volatility had a significant effect on the volatility of the 5-year BEI, but it had a significant effect on the 20-year BEI volatility when considering the price change and volatility together. On the other hand, only the price of food had a statistically significant effect on the volatility of the 5-year BEI.