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  1. The asymmetric impact of economic policy and oil price uncertainty on inflation
    evidence from developed and emerging economies
    Author: Anderl, Christina; Caporale, Guglielmo Maria
    Published: February 2023
    Publisher:  CESifo, Munich, Germany

    This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s... more

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    This paper examines the asymmetric impact of economic policy uncertainty (EPU) and oil price uncertainty (OPU) on inflation by using a Nonlinear ARDL (NARDL) model, which is compared to a benchmark linear ARDL one. Using monthly data from the 1990s until August 2022 for a number of developed and emerging countries, we find that the estimated effects of both EPU and OPU shocks are larger when allowing for asymmetries in the context of the NARDL framework. Further, EPU shocks, especially negative ones, have a stronger impact on inflation than OPU ones and capture some of the monetary policy uncertainty, thereby reducing the direct effect of interest rate changes on inflation. Since EPU shocks reflect, at least to some extent, monetary policy uncertainty, greater transparency and more timely communications from monetary authorities to the public would be helpful to anchor inflation expectations.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/271920
    Series: CESifo working papers ; 10276 (2023)
    Subjects: inflation; asymmetries; NARDL; oil price uncertainty; economic policy uncertainty
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  2. Oil-price uncertainty and international stock returns
    dissecting quantile-based predictability and spillover effects using more than a century of data
    Author: Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

    Access:
    Verlag (lizenzpflichtig)
    Resolving-System (kostenfrei)

    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
    Inter-library loan:
    No inter-library loan
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/7648
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 17 (March 2022)
    Subjects: international stock markets; oil price uncertainty; forecasting; quantile regression
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen