美国与能源相关的不确定性冲击和通胀动态:一种多元量值回归方法

IF 5 2区 经济学 Q1 ECONOMICS
Ojonugwa Usman , Oktay Ozkan , Ayben Koy , Tomiwa Sunday Adebayo
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引用次数: 0

摘要

现有文献表明,不确定性冲击可以像总需求冲击或总供给冲击一样传播。作为延伸,本研究调查了与能源相关的不确定性冲击对美国通货膨胀的影响,同时纳入了工业生产和利率不确定性冲击的影响。通过对 2000:M6 至 2019:M7 期间的多元量纲-量纲回归,研究结果表明,能源相关不确定性冲击以成本推动冲击的形式放大了通货膨胀,在略高于能源相关不确定性量纲分布中位数的量纲中出现了更强的联系。虽然工业生产对通胀有积极的推动作用,但在通胀的中位数量级附近观察到的影响要小于在较低和较高量级观察到的影响。此外,利率不确定性的影响是负的,并且在通胀率中位数附近的量值中影响更大,这表明利率不确定性的表现与总需求冲击类似。根据这些研究结果,提出了政策影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

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

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

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 energy-related 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.

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来源期刊
CiteScore
9.60
自引率
4.90%
发文量
159
期刊介绍: Structural Change and Economic Dynamics publishes articles about theoretical, applied and methodological aspects of structural change in economic systems. The journal publishes work analysing dynamics and structural breaks in economic, technological, behavioural and institutional patterns.
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