Uncertainty shocks and inflation dynamics in the U.S.

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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
Publication statusPublished - May 2021


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