Uncertainty shocks and inflation dynamics in the US

被引：16
|
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.
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页数：5
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