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Effects of Commodity Price Shocks on Inflation : A Cross-Country Analysis

Sekine, Atsushi - 2017

stability. This paper investigates the effects of commodity price shocks on headline inflation with a monthly panel consisting … of 144 countries. We find that the effects of commodity price shocks on inflation virtually disappear within about one … fairly robust, suggesting a low risk of a persistent second-round effect on inflation. Employing the smooth transition …

Persistent link: https://www.econbiz.de/10012951603

Financial Shocks and Inflation Dynamics

Abbate, Angela - 2016

We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the … shocks through sign restrictions. Our main finding is that expansionary financial shocks temporarily lower inflation. This … during the crisis. We then explore the transmission channels of financial shocks relevant for inflation, and find that the …

Persistent link: https://www.econbiz.de/10012984047

Imperfect Information, Heterogeneous Demand Shocks, and Inflation Dynamics

Okuda, Tatsushi; Tsuruga, Tomohiro; Zanetti, Francesco - 2021

shocks reduces the sensitivity of inflation to changes in aggregate demand. We test and corroborate the theoretical … significant role for the decline in the sensitivity of inflation to movements in aggregate demand from mid-1980s to mid-2000s …

Persistent link: https://www.econbiz.de/10013241100

Uncertainty Shocks and Inflation Dynamics in the US

Haque, Qazi; Magnusson, Leandro M. - 2020

effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid …

Persistent link: https://www.econbiz.de/10014090743

Financial Frictions and the Role of Investment Specific Technology Shocks in the Business Cycle

Kamber, Güneş - 2012

Various papers have identified shocks to investment as major drivers of output, investment, hours, and interest rates. These investment shocks have been linked to financial frictions because financial markets are instrumental in transforming consumption goods into installed capital. However, the...

Persistent link: https://www.econbiz.de/10013105098

How Important are Spillovers from Major Emerging Markets?

Huidrom, Raju - 2017

The seven largest emerging market economies - China, India, Brazil, Russia, Mexico, Indonesia, and Turkey - constituted more than one-quarter of global output and more than half of global output growth during 2010-15. These emerging markets, which we call EM7, are also closely integrated with...

Persistent link: https://www.econbiz.de/10012956814

Oil and Macroeconomic (In)Stability

Bjørnland, Hilde C. - 2017

We analyze the role of oil price volatility in reducing U.S. macroeconomic instability. Using a Markov Switching Rational Expectation New-Keynesian model we revisit the timing of the Great Moderation and the sources of changes in the volatility of macroeconomic variables. We find that smaller or...

Persistent link: https://www.econbiz.de/10012941610

Uncertainty and Monetary Policy in Good and Bad Times : A Replication of the VAR Investigation by Bloom (2009)

Caggiano, Giovanni - 2020

This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...

Persistent link: https://www.econbiz.de/10012825689

The Asymmetric Effects of Uncertainty Shocks

Paccagnini, Alessia - 2020

This study evaluates the effects of financial uncertainty shocks in the US, investigating the role of the monetary policy stance. Estimating a nonlinear Vector Autoregressive, we find that an uncertainty shock triggers asymmetric and negative effects across the business cycle. The reactions of...

Persistent link: https://www.econbiz.de/10012826575

Risk Sharing in a World Economy with Uncertainty Shocks

Kollmann, Robert - 2015

This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption, trade flows and the real exchange rate, in a two-country world with recursive preferences and complete financial markets. When the risk aversion coefficient exceeds the inverse...

Persistent link: https://www.econbiz.de/10013011666