Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations

• 成果类型: Article
• 署名作者: Ascari, Guido; Fasani, Stefano; Grazzini, Jakob; Rossi, Lorenza
• 署名单位: University of Pavia; European Central Bank; De Nederlandsche Bank NV; Lancaster University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.04.002
• 发表日期: 2023
• 页码: 48-63
• 关键词: Endogenous uncertainty; VaR; Inflation expectations; firm dynamics

摘要

A shock that increases short-term inflation expectations has negative macroeconomic effects, increasing inflation and decreasing output. The third-order solution of a rich DSGE model with firm dynamics shows that the endogenous increase in uncertainty is key for both amplifying the transmission mechanism and providing robust sign restrictions to identify the inflation expectations shock in an empirical VAR. The model, estimated using limited information impulse response matching techniques, shows the importance of endogenous uncertainty and firm dynamics for the transmission mechanism of an inflation expectations shock. Furthermore, shocks that increase inflation expectations have stronger effects than shocks that reduce inflation expectations. (c) 2023 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/)