The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level … increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …

Uncertainty about the future path of inflation affects consumption, saving and investment decisions as well as wage … negotiations and price setting of firms. These decisions are based on inflation expectations which are a key determinant of … inflation in the New Keynesian Phillips Curve. In this paper we therefore explicitly analyse the relationship between inflation …

This note studies the inflation-uncertainty relationship in a New Keynesian framework. Inflation in these models can be … uncertainty about future output increase current inflation, which can quantitatively off-set the deflationary effect of …

This paper investigates the impacts of inflation uncertainty on inflation and economic activities. We take three steps …. We first put together various measures of inflation uncertainty—including survey- and model-based - and extract a common … inflation uncertainty for the group of seven advanced economies and seven large emerging market economies. Using the inflation …

Long-term inflation expectations in the euro area reached historically low levels at the end of 2019, suggesting a … possible de-anchoring from the European Central Bank’s “below, but close to, 2 per cent” inflation aim. The decline in long …-term inflation expectations exerted a downward pressure on inflation between 2014 and 2016, and in 2019. Counterfactual simulations …

into a VAR model with ARCH shocks to measure the effect monetary policy uncertainty has on inflation, output growth …

This paper studies uncertainty using the ECB Survey of Professional Forecasters' data. We consider both inflation and … are based on subjective probability distributions of survey respondents. Our analysis indicates that individual inflation … inflation uncertainty has a negative impact on economic activity by decreasing output growth and increasing inflation and …

This paper investigates how inflation and its uncertainty impact GDP growth in eight Central and Eastern European … Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different … distribution functions, while the nonlinear effect of inflation and its uncertainty on GDP growth is assessed in the Bayesian …