We study how uncertainty shocks affect the macroeconomy across the inflation cycle using a nonlinear stochastic … volatility-in-mean VAR. When inflation is high, uncertainty shocks raise inflation and depress real activity more sharply. A non …-linear New Keynesian model with second-moment shocks and trend inflation explains this via an 'inflation-uncertainty amplifier …

inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at …

This paper seeks to document and explain the effect of a commodity price shock on underlying core inflation, and how … across many countries there was a break in the response of core inflation to a commodity price shock. In an earlier period, a … shock to commodity prices would lead to a large and significant increase in core inflation, but in later periods, the effect …

mandate of price stability in the current low-inflation, low-interest-rate scenario. This paper contributes to the existing … anchoring of inflation expectations. I carry out my analysis based on a high-frequency identification and the estimation of a … forward guidance, i.e. forecasters revise their long-run expectations upwards. Consequently, inflation increases, which …

We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy … through the external finance premium and the term structure of interest rates appears strongly dependent on inflation …

factors that influence trend inflation in the USA. Using structural shocks that incorporate a broad set of information for the … US economy, we find that four structural shocks have significant effects on trend inflation: productivity, price mark …-up, government policy, and finance. During and in the aftermath of the Great Recession, trend inflation became more volatile after …

patterns in economic activity and inflation following oil price shocks in the euro area. In the 'normal regime', oil price … shocks are followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the … same direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a …