Uncertainty shocks and inflation dynamics in the U.S.

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Abstract

We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be negative in the post-WWII period. Our findings suggest that uncertainty shocks propagate like aggregate demand shocks and not like aggregate supply shocks.
Original languageEnglish
Article number109825
Number of pages5
JournalEconomics Letters
Volume202
DOIs
Publication statusPublished - May 2021

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