The Effects of Uncertainty Shocks on Daily Prices

Dario Bonciani*, Andrea Tafuro

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

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.
OriginalsprogEngelsk
TidsskriftJournal of Business Cycle Research
Vol/bind14
Udgave nummer1
Sider (fra-til)89–104
Antal sider16
ISSN2509-7962
DOI
StatusUdgivet - apr. 2018
Udgivet eksterntJa

Emneord

  • Uncertainty shocks
  • Daily online price index
  • SVAR

Citationsformater