The Effects of Uncertainty Shocks on Daily Prices

Dario Bonciani; Andrea Tafuro

doi:10.1007/s41549-018-0024-2

The Effects of Uncertainty Shocks on Daily Prices

Dario Bonciani^*, Andrea Tafuro

^*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

In this paper, we investigate the effects of uncertainty shocks on the US daily online price index by Cavallo and Rigobon (J Econ Perspect 30(2):151–78, 2016) within a VAR framework. We find evidence that shocks increasing uncertainty dampen prices significantly. This result is robust to various changes to the baseline model and rejects the Upward Pricing Bias that is often found in the Sticky-Price DSGE literature.

Originalsprog	Engelsk
Tidsskrift	Journal of Business Cycle Research
Vol/bind	14
Udgave nummer	1
Sider (fra-til)	89–104
Antal sider	16
ISSN	2509-7962
DOI	https://doi.org/10.1007/s41549-018-0024-2
Status	Udgivet - apr. 2018
Udgivet eksternt	Ja

Emneord

Uncertainty shocks
Daily online price index
SVAR

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Citationsformater

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KW - Daily online price index

KW - SVAR

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