Inflationary household uncertainty shocks
Ambrocio, Gene (24.04.2020)
Numero
5/2020Julkaisija
Bank of Finland
2020
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-202004282092Tiivistelmä
I construct a novel measure of household uncertainty based on survey data for European countries. I show that household uncertainty shocks are not universally like negative demand shocks. Notably, household uncertainty shocks are largely inflationary in Europe. These results lend support to a pricing bias mechanism as an important transmission channel. A comparison of results across countries suggest that demographics and factors related to average markups along with monetary policy play a role in the transmission of household uncertainty to inflation. I develop an Overlapping Generations New Keynesian model with Deep Habits to rationalize these results.
Julkaisuhuomautus
A revised version published on 14 February 2022 is available as BoF DP 5/2022.