Uncertainty shocks and inflation dynamics in the U.S

Qazi Haque and Leandro Magnusson

No 20-25, Economics Discussion / Working Papers from The University of Western Australia, Department of Economics

Abstract: We estimate a time-varying parameter VAR (TVP-VAR) with stochastic volatility using post-WWII U.S. data to study the effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid-to-late 1990s and negative thereafter. Our findings suggest that uncertainty shocks do not propagate like aggregate supply shocks and look like aggregate demand shocks since late 1990s.

Keywords: Uncertainty shocks; inflation dynamics; TVP-VARs with stochastic volatility (search for similar items in EconPapers)
JEL-codes: C32 E31 E32 E44 (search for similar items in EconPapers)
Pages: 22
Date: 2020
New Economics Papers: this item is included in nep-mon and nep-ore
Note: MD5 = 16da83f3bd01708a6a28d0d5e9568a60
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ecompapers.biz.uwa.edu.au/paper/PDF%20of%2 ... 0and%20Magnusson.pdf (application/pdf)

Related works:
Journal Article: Uncertainty shocks and inflation dynamics in the U.S (2021)
Working Paper: Uncertainty shocks and inflation dynamics in the US (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uwa:wpaper:20-25

Access Statistics for this paper

More papers in Economics Discussion / Working Papers from The University of Western Australia, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sam Tang ().