Uncertainty shocks and inflation dynamics in the US

Vol: 
100/2020
Author name: 
Haque Q
Magnusson LM
Year: 
2020
Month: 
November
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.

Publication file: 

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