Inflation Dynamics of Financial Shocks

Olli Palmén

Inflation Dynamics of Financial Shocks

Olli Palmén

Financial and Macroeconometrics

Research output: Contribution to journal › Article › Scientific

Abstract

We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.

Original language	English
Journal	arXiv.org
Number of pages	15
ISSN	2331-8422
Publication status	In preparation - 5 Jun 2020
MoE publication type	B1 Journal article

Fields of Science

511 Economics
econ.EM
econ.GN
q-fin.EC

Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series
Lanne, M. (Project manager), Saikkonen, P. (Principal Investigator), Meitz, M. (Principal Investigator), Luoto, J. (Principal Investigator), Funovits, B. (Project manager) & Palmén, O. (Participant)
01/09/2017 → 31/08/2021
Project: Research project

Cite this

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title = "Inflation Dynamics of Financial Shocks",

abstract = "We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.",

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T1 - Inflation Dynamics of Financial Shocks

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PY - 2020/6/5

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N2 - We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.

AB - We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.

KW - 511 Economics

KW - econ.EM

KW - econ.GN

KW - q-fin.EC

M3 - Article

SN - 2331-8422

JO - arXiv.org

JF - arXiv.org

ER -

Inflation Dynamics of Financial Shocks

Abstract

Fields of Science

Projects

Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series

Cite this