Uncertainty shocks and inflation dynamics in the U.S

Qazi Haque and Leandro Magnusson

Economics Letters, 2021, vol. 202, issue C

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.

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)
Date: 2021
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Citations: View citations in EconPapers (13)

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Related works:
Working Paper: Uncertainty shocks and inflation dynamics in the US (2020)
Working Paper: Uncertainty shocks and inflation dynamics in the U.S (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:202:y:2021:i:c:s0165176521001026

DOI: 10.1016/j.econlet.2021.109825

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