Nonlinearities With Deanchored Inflation Expectations
使用非线性VAR模型，研究发现长期通胀预期负向冲击对产出、投资和企业进入的影响比正向冲击更强且更持久，并通过影响企业观望行为来解释这一现象。
ABSTRACT Using a nonlinear VAR, we examine the asymmetric effects of shocks to long‐run inflation expectations. Negative shocks, which temporarily lower long‐run inflation expectations, have a stronger and more persistent impact on output, investment, and firm entry compared to positive shocks. We provide a novel theoretical explanation, demonstrating how these shocks influence the second‐order components of the model, shaping firms' “wait‐and‐see” behavior—particularly along both the intensive and extensive margins of the investment channel.