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Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations

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Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations. / Rossi, Lorenza; Fasani, Stefano; Grazzini, Jakob.
In: Journal of Monetary Economics, Vol. 140, No. Supplement, 30.11.2023, p. S48-S63.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Rossi, L, Fasani, S & Grazzini, J 2023, 'Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations', Journal of Monetary Economics, vol. 140, no. Supplement, pp. S48-S63. https://doi.org/10.1016/j.jmoneco.2023.04.002

APA

Rossi, L., Fasani, S., & Grazzini, J. (2023). Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations. Journal of Monetary Economics, 140(Supplement), S48-S63. https://doi.org/10.1016/j.jmoneco.2023.04.002

Vancouver

Rossi L, Fasani S, Grazzini J. Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations. Journal of Monetary Economics. 2023 Nov 30;140(Supplement):S48-S63. Epub 2023 Apr 13. doi: 10.1016/j.jmoneco.2023.04.002

Author

Rossi, Lorenza ; Fasani, Stefano ; Grazzini, Jakob. / Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations. In: Journal of Monetary Economics. 2023 ; Vol. 140, No. Supplement. pp. S48-S63.

Bibtex

@article{26d86a4805134541b4507197e0c5014f,
title = "Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations",
abstract = "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.",
author = "Lorenza Rossi and Stefano Fasani and Jakob Grazzini",
year = "2023",
month = nov,
day = "30",
doi = "10.1016/j.jmoneco.2023.04.002",
language = "English",
volume = "140",
pages = "S48--S63",
journal = "Journal of Monetary Economics",
issn = "0304-3932",
publisher = "Elsevier",
number = "Supplement",

}

RIS

TY - JOUR

T1 - Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations

AU - Rossi, Lorenza

AU - Fasani, Stefano

AU - Grazzini, Jakob

PY - 2023/11/30

Y1 - 2023/11/30

N2 - 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.

AB - 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.

U2 - 10.1016/j.jmoneco.2023.04.002

DO - 10.1016/j.jmoneco.2023.04.002

M3 - Journal article

VL - 140

SP - S48-S63

JO - Journal of Monetary Economics

JF - Journal of Monetary Economics

SN - 0304-3932

IS - Supplement

ER -