Energy-related uncertainty shocks and inflation dynamics in the U.S: A multivariate quantile-on-quantile regression approach
Yükleniyor...
Tarih
2024
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
Existing literature suggests that uncertainty shocks can propagate like aggregate demand shocks or aggregate supply shocks. By way of extension, this study investigates the effect of energy-related uncertainty shocks on U.S. inflation while incorporating the effect of industrial production and interest rate uncertainty shocks. Using a multivariate quantile-on-quantile regression for the period 2000:M6 to 2019:M7, the findings reveal that energyrelated uncertainty shocks amplify inflation by manifesting as cost-push shocks with a stronger connection emerging in quantiles slightly above the median quantile distribution of energy-related uncertainty. Although industrial production positively drives inflation, its effect is observed less around median quantiles of inflation than in the lower and upper quantiles. Furthermore, the effect of interest rate uncertainty is negative and stronger in quantiles around the median of inflation, suggesting that interest rate uncertainty behaves like aggregate demand shocks. Based on these findings, policy implications are offered.
Açıklama
Anahtar Kelimeler
Inflation, Energy-Related Uncertainty, Industrial Production, Interest Rate Uncertainty, Multivariate Quantile-on-Quantile Regression
Kaynak
Structural Change And Economic Dynamics
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
71
Sayı
Künye
Usman, O., Özkan, O., Koy, A., & Adebayo, T. S. (2024). Energy-Related Uncertainty Shocks and Inflation Dynamics in the U.S: A Multivariate Quantile-on-Quantile Regression Approach. Structural Change and Economic Dynamics, 71, 235–247.
