Energy-related uncertainty shocks and inflation dynamics in the U.S: A multivariate quantile-on-quantile regression approach

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dc.authorid0000-0002-6459-9898
dc.authorid0000-0001-9419-8115
dc.authorid0000-0002-2506-6634
dc.authorid0000-0003-0094-1778
dc.contributor.authorUsman, Ojonugwa
dc.contributor.authorÖzkan, Oktay
dc.contributor.authorKoy, Ayben
dc.contributor.authorAdebayo, Tomiwa Sunday
dc.date.accessioned2024-10-12T19:42:56Z
dc.date.available2024-10-12T19:42:56Z
dc.date.issued2024
dc.departmentİstanbul Ticaret Üniversitesi, İşletme Fakültesi, İktisat Bölümüen_US
dc.departmentİstanbul Ticaret Üniversitesi, İşletme Fakültesi, Finans ve Bankacılık Bölümü
dc.description.abstractExisting 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.en_US
dc.identifier.citationUsman, 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.
dc.identifier.doi10.1016/j.strueco.2024.07.012
dc.identifier.endpage247en_US
dc.identifier.issn0954-349X
dc.identifier.issn1873-6017
dc.identifier.scopus2-s2.0-85200818433en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage235en_US
dc.identifier.urihttps://doi.org/10.1016/j.strueco.2024.07.012
dc.identifier.urihttps://hdl.handle.net/11467/8670
dc.identifier.volume71en_US
dc.identifier.wosWOS:001294338300001en_US
dc.identifier.wosqualityN/Aen_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.relation.ispartofStructural Change And Economic Dynamicsen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectInflationen_US
dc.subjectEnergy-Related Uncertaintyen_US
dc.subjectIndustrial Productionen_US
dc.subjectInterest Rate Uncertaintyen_US
dc.subjectMultivariate Quantile-on-Quantile Regressionen_US
dc.titleEnergy-related uncertainty shocks and inflation dynamics in the U.S: A multivariate quantile-on-quantile regression approachen_US
dc.typeArticleen_US

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