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The macroeconomic effects of inflation uncertainty
Deutsche Bundesbank
2023.12.04
The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level not seen in nearly five decades since the COVID-19 pandemic hit the global economy. Prices, consumption, and production increase after a positive shock to core inflation uncertainty in a vector autoregression. En-dogenous changes in household inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates positive demand effects. Households expect significantly higher inflation when confronted with a surprise increase in the uncertainty of core consumer prices. In turn, they consume more, which boosts aggregate demand.