Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/310427 
Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Working Paper No. 7/2024
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
What drives the recent inflation surge? To answer this question, one must decompose inflation fluctuations into the contribution of structural shocks. We document how whimsical such a historical shock decomposition can be in standard vector autoregressive (VAR) models. We show that the deterministic component of the VAR tends to be imprecisely estimated, making the shock contributions poorly identified under general conditions. Our preferred approach to solve this problem- the single-unit-root prior-can massively shrink the uncertainty around the estimated deterministic component. Once this uncertainty is taken care of, demand shocks unambiguously appear as the main drivers of the inflation surge in the United States, the euro Area, and in four small open economies.
Schlagwörter: 
Bayesian vector autoregression
deterministic component
single unit root prior
inflation dynamics
JEL: 
C11
C32
E32
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-8379-316-1
Creative-Commons-Lizenz: 
cc-by-nc-nd Logo
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
2.39 MB





Publikationen in EconStor sind urheberrechtlich geschützt.