frequency vector autoregression (VAR). It shows that potential causalities for inflation, relative price variability, relative …This paper investigates the dynamic interactions of the cross-section distribution of sectoral price changes and the … price skewness, and output growth can be successfully detected by the MFVAR. The cross-section distribution of sectoral …

We identify supply and demand shocks to the real price of natural gas in the Euro Area and the United States. Demand … and uncover key transmission channels through which gas price shocks affect the broader macroeconomy. Our findings show …

This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand …, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices … through to all components of euro area inflation - producer prices, wages and core inflation, which has implications for …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

This study analyzes the impact of supply and demand shocks on income and price inequality in the economy using data … from Korea. First, supply and demand shocks are identified from output and price data in Korea using the methods found in … consumer price index by income class is calculated. The effects of extracted shocks on the distribution index of income and the …

Foreign price shocks have significant effects on functional income distribution and on inflation inequality. By … with an inflation-targeting regime. We investigate the impacts of foreign price shocks on income and inflation inequality … reduce real wages, in particular of workers whose consumption basket is more sensitive to the price of certain goods (e …

quarters after an exogenous cost shock, and the price increase is accompanied by a decline in output. The estimated pass …-through of the shock into prices one quarter ahead is 0.7. The price response to shocks becomes about 27 percent larger when … between inflation dynamics and rising market concentration. …

Using the Federal Reserve Bank of Atlanta's Business Inflation Expectations (BIE) survey, which has been continuously …

factors impact the inflation rate. This study delves into the complex relationship between budgetary shocks, economic … uncertainty, and inflation within the context of the Russian economy. The aim of this study is to unravel how budgetary decisions …, made amidst a globally uncertain economic environment, influence inflation dynamics. In other words, the objective of this …

aggregate inflation and the higher-order moments of the distribution of relative price changes. Our empirical findings confirm … explanatory variable for the inflation rate. Further, the skewness measure also helps to explain shifts in the Phillips curve …