RDP 2024-05: Sign Restrictions and Supply-demand Decompositions of Infation References

Adjemian MK, Q Li and J Jo (2023), ‘Decomposing Food Price Inflation into Supply and Demand Shocks’, Unpublished manuscript, College of Agricultural & Environmental Sciences, University of Georgia, rev 12 July 2023.

Angeletos G-M, F Collard and H Dellas (2020), ‘Business-cycle Anatomy’, The American Economic Review, 110(10), pp 3030–3070.

Antolín-Díaz J and JF Rubio-Ramírez (2018), ‘Narrative Sign Restrictions for SVARs’, The American Economic Review, 108(10), pp 2802–2829.

Arias JE, JF Rubio-Ramírez and DF Waggoner (2018), ‘Inference Based on Structural Vector Autoregressions Identified with Sign and Zero Restrictions: Theory and Applications’, Econometrica, 86(2), pp 685–720.

Aruoba SB, FX Diebold, J Nalewaik, F Schorfheide and D Song (2016), ‘Improving GDP Measurement: A Measurement-error Perspective’, Journal of Econometrics, 191(2), pp 384–397.

Bai X, J Fernández-Villaverde, Y Li and F Zanetti (2024), ‘The Causal Effects of Global Supply Chain Disruptions on Macroeconomic Outcomes: Evidence and Theory’, NBER Working Paper No 32098.

Ball LM, D Leigh and P Mishra (2022), ‘Understanding U.S. Inflation during the COVID Era’, NBER Working Paper No 30613.

Baumeister C and JD Hamilton (2015), ‘Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information’, Econometrica, 83(5), pp 1963–1999.

Baumeister C and JD Hamilton (2018), ‘Inference in Structural Vector Autoregressions When the Identifying Assumptions Are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations’, Journal of Monetary Economics, 100, pp 48–65.

Beaudry P, C Hou and F Portier (forthcoming), ‘The Dominant Role of Expectations and Broad-based Supply Shocks in Driving Inflation’, in JV Leahy, MS Eichenbaum and VA Ramey (eds), NBER Macroeconomics Annual, 39, University of Chicago Press, Chicago.

Beckers B (2023), ‘Discussant Remarks by Benjamin Beckers on “Decomposing Supply and Demand Driven Inflation” by Adam Shapiro’, Discussion of ‘Decomposing Supply and Demand Driven Inflation’ presented at the annual Reserve Bank of Australia Conference on ‘Inflation’, Sydney, 25–26 September.

Beckers B, J Hambur and T Williams (2023), ‘Estimating the Relative Contributions of Supply and Demand Drivers to Inflation in Australia’, RBA Bulletin, June.

Bergholt D, F Canova, F Furlanetto, N Maffei-Faccioli and P Ulvedal (2024), ‘What Drives the Recent Surge in Inflation? The Historical Decomposition Roller Coaster’, Norges Bank Working Paper 7|2024.

Bergholt D, F Furlanetto and E Vaccaro-Grange (2023), ‘Did Monetary Policy Kill the Phillips Curve? Some Simple Arithmetics’, Norges Bank Working Paper 2|2023.

Blanchard OJ and BS Bernanke (2023), ‘What Caused the US Pandemic-era Inflation?’, NBER Working Paper No 31417.

Boissay F, F Collard, C Manea and A Shapiro (2023), ‘Monetary Tightening, Inflation Drivers and Financial Stress’, BIS Working Papers No 1155.

Braun R, A Flaaen and S Hacıoğlu Hoke (2024), ‘Supply vs Demand Factors Influencing Prices of Manufactured Goods’, Board of Governors of the Federal Reserve System, FEDS Notes, 23 February.

Bureau of Economic Analysis (2017), ‘Chapter 5: Personal Consumption Expenditures’, in ‘Concepts and Methods of the U.S. National Income and Product Accounts’, rev Dec 2023, pp 5-1–5-73.

Calvert Jump R and K Kohler (2022), ‘A History of Aggregate Demand and Supply Shocks for the United Kingdom, 1900 to 2016’, Explorations in Economic History, 85, Article 101448.

Carriero A and A Volpicella (forthcoming), ‘Max Share Identification of Multiple Shocks: An Application to Uncertainty and Financial Conditions’, Journal of Business & Economic Statistics.

Chang J-CD, DW Jansen and C Pagliacci (2023), ‘Inflation and Real GDP Growth in the U.S.— Demand or Supply Driven?’, Economics Letters, 231, Article 111274.

Chen Y and T Tombe (2023), ‘The Rise (and Fall?) of Inflation in Canada: A Detailed Analysis of Its Post-pandemic Experience’, Canadian Public Policy, 49(2), pp 197–217.

Daly MC, B Hobijn, A Şahin and RG Valletta (2012), ‘A Search and Matching Approach to Labor Markets: Did the Natural Rate of Unemployment Rise?’, Journal of Economic Perspectives, 26(3), pp 3–26.

Eickmeier S and B Hofmann (2022), ‘What Drives Inflation? Disentangling Demand and Supply Factors’, Australian National University Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, CAMA Working Paper 74/2022.

Firat M and O Hao (2023), ‘Demand vs. Supply Decomposition of Inflation: Cross-country Evidence with Applications’, IMF Working Paper No WP/23/205.

Fry R and A Pagan (2011), ‘Sign Restrictions in Structural Vector Autoregressions: A Critical Review’, Journal of Economic Literature, 49(4), pp 938–960.

Gafarov B, M Meier and JL Montiel Olea (2018), ‘Delta-method Inference for a Class of Set-identified SVARs’, Journal of Econometrics, 203(2), pp 316–327.

Giacomini R and T Kitagawa (2021), ‘Robust Bayesian Inference for Set-identified Models’, Econometrica, 89(4), pp 1519–1556.

Giacomini R, T Kitagawa and M Read (2023), ‘Identification and Inference under Narrative Restrictions’, RBA Research Discussion Paper No 2023-07.

Giannone D and GE Primiceri (2024), ‘The Drivers of Post-pandemic Inflation’, Paper presented at the ECB Forum on Central Banking 2024 ‘Monetary Policy in an Era of Transformation’, Sintra, 1–3 July.

Gonçalves E and G Koester (2022), ‘The Role of Demand and Supply in Underlying Inflation – Decomposing HICPX Inflation into Components’, ECB Economic Bulletin, 7/2022, pp 70–75.

Gordon MV and TE Clark (2023), ‘The Impacts of Supply Chain Disruptions on Inflation’, Federal Reserve Bank of Cleveland Economic Commentary No 2023-08.

Granziera E, HR Moon and F Schorfheide (2018), ‘Inference for VARs Identified with Sign Restrictions’, Quantitative Economics, 9(3), pp 1087–1121.

Hamilton JD (1994), Time Series Analysis, Princeton University Press, Princeton.

Kilian L and H Lütkepohl (2017), Structural Vector Autoregressive Analysis, Themes in Modern Econometrics, Cambridge University Press, Cambridge.

Kugler AD (2024), ‘The Outlook for the U.S. Economy and Monetary Policy’, Speech given at the Weidenbaum Center on the Economy, Government, and Public Policy, Washington University, St. Louis, 3 April.

Leamer EE (1981), ‘Is It a Demand Curve, or Is It a Supply Curve? Partial Identification through Inequality Constraints’, The Review of Economics and Statistics, 63(3), pp 319–327.

Lenza M and GE Primiceri (2022), ‘How to Estimate a Vector Autoregression after March 2020’, Journal of Applied Econometrics, 37(4), pp 688–699.

Moon HR and F Schorfheide (2012), ‘Bayesian and Frequentist Inference in Partially Identified Models’, Econometrica, 80(2), pp 755–782.

Plagborg-Møller M and CK Wolf (2022), ‘Instrumental Variable Identification of Dynamic Variance Decompositions’, Journal of Political Economy, 130(8), pp 2164–2202.

Poirier D (1998), ‘Revising Beliefs in Nonidentified Models’, Econometric Theory, 14(4), pp 483–509.

Read M (2022), ‘The Unit-effect Normalisation in Set-identified Structural Vector Autoregressions’, RBA Research Discussion Paper No 2022-04.

Rubbo E (2024), ‘What Drives Inflation? Lessons from Disaggregated Price Data’, NBER Working Paper No 32194.

Rubio-Ramírez JF, DF Waggoner and T Zha (2010), ‘Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference’, The Review of Economic Studies, 77(2), pp 665–696.

Schorfheide F and D Song (forthcoming), ‘Real-time Forecasting with a (Standard) Mixed-frequency VAR during a Pandemic’, International Journal of Central Banking.

Shapiro AH (2022), ‘Decomposing Supply and Demand Driven Inflation’, Federal Reserve Bank of San Francisco Working Paper No 2022-18, rev February 2024.

Stock JH and F Trebbi (2003), ‘Retrospectives: Who Invented Instrumental Variable Regression?’, Journal of Economic Perspectives, 17(3), pp 177–194.

Uhlig H (2003), ‘What Moves Real GNP?’, Unpublished manuscript, April.

Uhlig H (2005), ‘What Are the Effects of Monetary Policy on Output? Results from an Agnostic Identification Procedure’, Journal of Monetary Economics, 52(2), pp 381–419.

Uhlig H (2017), ‘Shocks, Sign Restrictions, and Identification’, in B Honoré, A Pakes, M Piazzesi and L Samuelson (eds), Advances in Economics and Econometrics: Eleventh World Congress, Vol 2, Econometric Society Monographs, Cambridge University Press, Cambridge, pp 95–127.

Wolf CK (2020), ‘SVAR (Mis)identification and the Real Effects of Monetary Policy Shocks’, American Economic Journal: Macroeconomics, 12(4), pp 1–32.