In the paper we investigate, which shocks drive inflation in small open economies. We proceed in two steps. First, we … variables. Our results show that in two out of three analyzed countries the fluctuations of inflation are to the largest extent … inflation variability while for the third country the contribution of the commodity shock dominates over the output gap in …

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …

bad) uncertainty. The increased role of bad uncertainty implies that the conditional skewness of GDP growth and inflation … uncertainty and "bad" uncertainty, associated with negative skewness. The Great Moderation is driven by decreases in Gaussian (not … and the correlation between level and uncertainty shocks in macro data are more negative. Bad uncertainty for aggregate …

precautionary saving is strong enough, a rise in uncertainty leads to i) a drop in inflation; ii) amplified negative responses of … to uncertainty shocks. Empirically, uncertainty shocks i) generate deflationary pressure; ii) have considerably negative … jointly attain these results. Uncertainty shocks induce households' precautionary saving and firms' precautionary pricing …

effects of uncertainty shocks on inflation. We find the response of inflation to be statistically insignificant until mid …-to-late 1990s and negative thereafter. Our findings suggest that uncertainty shocks do not propagate like aggregate supply shocks …