Endogenous uncertainty and the macroeconomic impact of shocks to inflation expectations
研究发现，推高短期通胀预期的冲击会带来负面宏观经济效应，即通胀上升、产出下降。通过一个包含企业动态的DSGE模型的三阶解，表明不确定性的内生增加是放大传导机制和识别冲击的关键。
A shock that increases short-term inflation expectations has negative macroeconomic effects, increasing inflation and decreasing output. The third-order solution of a rich DSGE model with firm dynamics shows that the endogenous increase in uncertainty is key for both amplifying the transmission mechanism and providing robust sign restrictions to identify the inflation expectations shock in an empirical VAR. The model, estimated using limited information impulse response matching techniques, shows the importance of endogenous uncertainty and firm dynamics for the transmission mechanism of an inflation expectations shock. Furthermore, shocks that increase inflation expectations have stronger effects than shocks that reduce inflation expectations.