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https://hdl.handle.net/2440/133678
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Type: | Journal article |
Title: | Uncertainty shocks and inflation dynamics in the U.S |
Author: | Haque, Q. Magnusson, L.M. |
Citation: | Economics Letters, 2021; 202:109825-1-109825-5 |
Publisher: | Elsevier |
Issue Date: | 2021 |
ISSN: | 0165-1765 1873-7374 |
Statement of Responsibility: | Qazi Haque, Leandro M. Magnusson |
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 |
Rights: | © 2021 Elsevier B.V. All rights reserved. |
DOI: | 10.1016/j.econlet.2021.109825 |
Grant ID: | http://purl.org/au-research/grants/arc/DP170100697 |
Published version: | http://dx.doi.org/10.1016/j.econlet.2021.109825 |
Appears in Collections: | Economics publications |
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