The Effects of Uncertainty Shocks on Daily Prices

Dario Bonciani*, Andrea Tafuro

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


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.
Original languageEnglish
JournalJournal of Business Cycle Research
Issue number1
Pages (from-to)89–104
Number of pages16
Publication statusPublished - Apr 2018
Externally publishedYes


  • Uncertainty shocks
  • Daily online price index
  • SVAR

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