Inflation Dynamics of Financial Shocks

Olli Palmén

Inflation Dynamics of Financial Shocks

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	Published - 5 Jun 2020
MoE publication type	B1 Journal article

Fields of Science

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

Projects

1 Active

Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series

Lanne, M., Saikkonen, P., Meitz, M., Luoto, J., Funovits, B. & Palmén, O.

01/09/2017 → 31/08/2021

Project: Research project

Cite this

Palmén, O. (2020). Inflation Dynamics of Financial Shocks. arXiv.org .

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