Uncertainty shocks and inflation dynamics in the U.S.

Qazi Haque; Leandro M Magnusson

doi:10.1016/j.econlet.2021.109825

Uncertainty shocks and inflation dynamics in the U.S.

Qazi Haque, Leandro M Magnusson

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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 language	English
Article number	109825
Number of pages	5
Journal	Economics Letters
Volume	202
DOIs	https://doi.org/10.1016/j.econlet.2021.109825
Publication status	Published - May 2021

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10.1016/j.econlet.2021.109825

Haque & Magnusson, 2021 Uncertainty shocks and inflationAccepted author manuscript, 829 KBLicence: CC BY-NC-ND
Haque & Magnusson, 2021 Supplement to Uncertainty shocks and inflationAccepted author manuscript, 1.73 MBLicence: CC BY-NC-ND

New methods for the empirical study of aggregate demand under instability
Magnusson, L., Mavroeidis, S. & Ascari, G.
Australian Research Council
30/06/17 → 30/06/23
Project: Research

Cite this

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title = "Uncertainty shocks and inflation dynamics in the U.S.",

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.",

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AB - 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.

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Uncertainty shocks and inflation dynamics in the U.S.

Abstract

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New methods for the empirical study of aggregate demand under instability

Cite this