This paper investigates the macroeconomic risks associated with undesirably low inflation using a medium-sized New … Keynesian model. We consider different causes of persistently low inflation, including a downward shift in long-run inflation … persistently low inflation depend crucially on its underlying cause, as well as on the extent to which monetary policy is …

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 …

inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the …, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty …, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent …

. Finally, the study also predicts the statistically significant role of economic prosperity, trade, and inflation in explaining …