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We analyze the evolution and drivers of inflation during the pandemic and the likely trajectory of inflation in the near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR) model. We report three main results. First, the decline...
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response of commodity prices to the shock. …
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April 2020. Using a 5-variable structural vector autoregression (SVAR) model, the study identifies an oil price shock … that a pandemic shock causes a delayed decrease in oil prices. Moreover, financial market conditions that affect financial … decomposition and finds that the impact of a pandemic shock, financial speculation shock, and aggregate demand shock are crucial in …
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