Repricing inflation risk in choppy energy markets
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Barclays’ Samy Ben Aoun outlines a method for modelling the sensitivity of inflation swaps to energy shocks
Inflation swaps provide a market-based proxy for inflation expectations and offer a useful framework for analysing how energy price shocks are transmitted. In particular, the sensitivity of short-term inflation swaps to energy prices can be interpreted as a real-time measure of how markets assess the capacity of distribution chains to absorb cost pressures. When businesses absorb higher input
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