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analyze China’s role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their … to be more strongly affected than consumer prices by Chinese shocks. The overall share of international inflation … exposure help explaining crosscountry differences in price responses. -- Global inflation ; China ; international business …
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In a parsimonious regime switching model, expected consumption growth varies over time. Adding in ation as a conditioning variable, we uncover two states in which expected consumption growth is low, one with high and one with negative expected in ation. Embedded in a general equilibrium asset...
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exploits the rounding patterns in individuals' responses to survey questions on inflation expectations (Binder, 2017). This … inflation expectations. …
Persistent link: https://www.econbiz.de/10012034114
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 …
Persistent link: https://www.econbiz.de/10014436184
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate...
Persistent link: https://www.econbiz.de/10010192763
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598