related redistributive effects associated with relative price changes. The degree of the exchange rate pass-through to … domestic prices reveals its role as the external price shocks absorber especially in the situation when the leading path of … rate shifts induced by sudden external price shocks are associated with changes in the relative competitiveness among …

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 …

account the changes that occurred in relative price movements between the pre-inflation targeting (ie 1994–2001) and inflation … their distribution are positively related to movements in short-run inflation. Moreover, price adjustments are observed to …The paper uses disaggregated price data to determine whether the higher moments of the distribution of relative price …

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 …

This paper investigates a perception in the political debates as to what extent poor countries are affected by price …

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 …

A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose …

1999-2019, when the Federal Funds Rate and the Euro-Dollar exchange rate are added to the VAR model inflation shows …, when we exclude the Federal Funds Rate from an estimated VAR model including a set of Euro Area variables, i.e., Eonia …, inflation and unemployment, we detect a wrong sign in the response of inflation to contractionary monetary policy shocks …