Uncertainty shocks and inflation dynamics in the US

Qazi Haque and Leandro Magnusson

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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: 28 pages
Date: 2020-11
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Related works:
Journal Article: Uncertainty shocks and inflation dynamics in the U.S (2021)
Working Paper: Uncertainty shocks and inflation dynamics in the U.S (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2020-100

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