Journal of Business Cycle Research

, Volume 14, Issue 1, pp 89–104 | Cite as

The Effects of Uncertainty Shocks on Daily Prices

Research Paper
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Abstract

In this paper, we investigate the effects of uncertainty shocks on the US daily online price index by Cavallo and Rigobon (J Econ Perspect 30(2):151–78, 2016) within a VAR framework. We find evidence that shocks increasing uncertainty dampen prices significantly. This result is robust to various changes to the baseline model and rejects the Upward Pricing Bias that is often found in the Sticky-Price DSGE literature.

Keywords

Uncertainty shocks Daily online price index SVAR 

JEL Classification

E31 E32 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.European University InstituteFlorenceItaly
  2. 2.RomeItaly

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