This paper investigates the effect of inflation uncertainty innovations on inflation over time by considering the … monthly United States data for the time period 1976-2006. In order to investigate the effect of inflation uncertainty … innovation on inflation, a Stochastic Volatility in Mean model (SVM) has been employed. SVM models are generally used to capture …

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 …