Bok, Brandyn; Mertens, Thomas M.; Williams, John C. - 2022
shocks, as measured by changes in the VIX, and changes in break-even inflation rates has declined and turned negative over … the past quarter century. It rationalizes this uncertainty-inflation correlation within a standard New Keynesian model … inflation shortfalls following negative demand shocks. As a result, the observed decline in the correlation between uncertainty …