Uncertainty shocks and inflation dynamics in the US

被引：18

作者：

Haque, Qazi ^{[1
,2
,3
]}

Magnusson, Leandro M. ^{[1
]}

机构：

[1] Univ Western Australia, Business Sch, Dept Econ, M251,35 Stirling Hwy, Crawley, WA 6009, Australia

[2] Univ Adelaide, Sch Econ, 10 Pulteney St, Adelaide, SA 5005, Australia

[3] CAMA, Canberra, ACT, Australia

来源：

ECONOMICS LETTERS | 2021年 / 202卷

基金：

澳大利亚研究理事会;

关键词：

Uncertainty shocks; Inflation dynamics; TVP-VARs with stochastic volatility;

D O I：

10.1016/j.econlet.2021.109825

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (c) 2021 Elsevier B.V. All rights reserved.

引用

页数：5

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